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'Cubic spline interpolation' for yield curve types ( RELNTRTM_MRM_40A_SPLINES )

Short text

'Cubic spline interpolation' for yield curve types

Description

The new interpolation category 'cubic spline interpolation' now complements the interpolation category 'linear interpolation'.

In the cubic spline procedure, piecewise third-degree polynomes are used for interpolation.

The advantage in comparison to linear interpolation, is that instead of having a continuous curve, here first derivative continuity is guaranteed, which makes the curve 'smoother'.

In addition, one characteristic of the resulting curve is that if the initial data is monotone (a rising yield curve for example) the resulting curve is also monotone.