Skip to content
fitidbits logo

Fixed Income Tidbits

a fixed income quant blog

  • MARKETS
    • Interactive Chart
    • Calendar
    • Commodities
    • FX
    • Energy
    • Money
    • Stocks
    • MyTickers
  • CONTACT

Tag: Hagan West spline

A forward monotone convex spline interpolation algorithm developed by Patrick S. Hagan Graeme West. It is designed to be used in financial markets for construction of curves such as forward curves, basis curves, and yield curves.

Posted on April 22, 2012September 5, 2018

Great example with Hyman filter in spline interpolation

The blogger Brain Twitter has created a great example showing the benefits of using Hyman filter in yield curve interpolation. Check out: curve-fitting-with-hyman-monotonicity I reproduce the graphs below.
This is before the Hyman filter is applied:
Interpolation without Hyman filter
This is after the Hyman filter is applied:
Interpolation with Hyman filter
Time Converter

Recent Posts

  • Quantlab and Python
  • Quantlab youtube channel
  • Multi-tenor swap surface and dual curve pricing in the swap market
  • Great example with Hyman filter in spline interpolation

Categories

  • Curve building
  • Interpolation
  • OIS discounting
  • Python
  • Quantlab
  • Swap market
Follow @FiTidbits

Blogroll

  • Kreditvärden
  • Paul Wilmott
  • Quantitative Trading
  • Quantlab blogger
  • Tales from a trading desk
  • The Macrotourist

Forum

  • Stackexchange
  • Wilmott forum

Media

  • Bloomberg Radio
  • Bloomberg TV Europe
  • BNN

Software

  • Numerix
  • Quantlab

Meta

  • Log in
  • Entries feed
  • Comments feed
  • WordPress.org

Recent Posts

  • Quantlab and Python
  • Quantlab youtube channel
  • Multi-tenor swap surface and dual curve pricing in the swap market
  • Great example with Hyman filter in spline interpolation
Proudly powered by WordPress