Alert icon
We're changing our privacy policy. This stuff matters.  Learn more  Dismiss

Piecewise cubic spline

Loading...

Sign in or sign up now!
Alert icon
Upgrade to the latest Flash Player for improved playback performance. Upgrade now or more info.
9,034
Loading...
Alert icon
Sign in or sign up now!
Alert icon

Uploaded by on Mar 6, 2008

A popular method to fit Treasury yield data is with piecewise cubic spline: we just break the term structure into pieces and fit a cubic polynomial to each piece, joined by knot points

Category:

Education

Tags:

License:

Standard YouTube License

  • likes, 0 dislikes

Link to this comment:

Share to:
see all

All Comments (10)

Sign In or Sign Up now to post a comment!
  • @akkadet514 works fine here... something wrong at ur end

  • Can you fix the video? It got stuck at 0:54. Thank you very much.

  • this has been very helpfull, can yout explain the B spline method as well? thanks a lot!!

  • Aren't you meant to change the constant as well? Or is that taken from the overnight rate?

  • Thank God for you tube. this is really helpful. I am starting to get the picture now.:-)

  • hi in your video you say you have a lesson prior to this one.... can you please put that lesson up or reply tellin me what its called. thank you very much

  • Great video. Thanks.

  • Is this the same to McCulloh method ? if not, what are the differences ? regards.

  • Hi, is it possible to get the excel sheet model to construct yield curves ? I would me more than grateful.

Loading...

Alert icon
0 / 00Unsaved Playlist Return to active list
    1. Your queue is empty. Add videos to your queue using this button:
      or sign in to load a different list.
    Loading...Loading...Saving...
    • Clear all videos from this list
    • Learn more