Yield Curve Interpolation

Please enter the inputs, and click the button to interpolate the yield curve:

Interpolation settings:

Interpolation MethodLinearCubic SplineCubic HermitePiecewise Constant Forward

Interpolation VariableSpot RateDiscount RateLog Discount RateLIBOR

Output Settings:

Maximum time

FrequencySemi-AnnualMonthlyQuarterlyAnnual

LIBOR Inputs:

Publication Date

Settlement PeriodT+2T+0T+1T+3T+4T+5

Day count methodActual/360Actual/365E30/360U30/360

Business DayModified FollowingFollowingPrecedingModified PrecedingUnadjusted

Holiday CalendarLondonNew YorkTarget2

LIBOR Values inputs:

Index

Maturity

LIBOR Rate

1

Hit me to add a LIBOR rate

Hit me to generate Yield Curve

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