Interpolation Tool

•Interpolation

The default interpolation method is cubic splines, with constraints to ensure monotonicity, and overshooting minimisation. The output is the annualized rate for the selected date.

•Curve

Select the curve to interpolate

•Maturity

Select the desired broken dates

•Discount factors

Displays the discount factors for the selected dates

•Cashflow input

Add the scheduled cashflows to calculate the present or future value

•Present and Future Value

The sum of the inserted cashflows is displayed at the bottom of the window. Calculations are performed in continuous time (i.e. not discrete).