Fit Treasury yield curve with cubic polynomial

This is the simplest function that we can use to fit to actual yield curve data. The cubic polynomial is: predicted rate(t) = rate(0) + a(time) + b(time^2) + c(time^3). We can use Excel's solver to get the best fit; i.e., solve for rate(0), a, b, and c.

Category:

Education

Tags:

• Finance
• Excel
• Quant

[wintiye2008]

thanks a lot man. it helps. i am doing my final year project on constructing yield curve and using yield curve to price market instruments. God bless you.

[mrknot85]

Interpolate is my new favorite word

[ChrisJamesthebeast]

Good video, Im currently doing a cubic cost function and having a bit of trouble!