论文标题
远期速率插值与折现因子插值之间的等效性
Equivalence between forward rate interpolations and discount factor interpolations for the yield curve construction
论文作者
论文摘要
建立产量曲线的传统方式是选择折扣因子的插值，这是市场可交易工具所暗示的。从那时起，基于远期利率的特定插值的构造已成为趋势。我们在这里表明，有关远期速率的一些流行插值方法与折现因子的经典插值方法完全对应。本文还旨在阐明插值之间的差异，以折现因素，瞬时远期利率，离散的远期利率和恒定的周期远期利率。
The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the trend. We show here that some popular interpolation methods on the forward rates correspond exactly to classical interpolation methods on discount factors. This paper also aims at clarifying the differences between interpolations in terms of discount factors, instantaneous forward rates, discrete forward rates, and constant period forward rates.
