Interpolating/bootstrapping Yield Curve from Swap Rates

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

Interpolation settings:

Interpolation OptionSwap Rate LinearSwap Rate Cubic SplineSpot Rate LinearDiscount Rate LinearLog Discount Rate Linear

Swap Inputs:

Trade Date

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

FrequencyQuarterlyMonthlySemi-AnnualAnnual

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

Business DayModified FollowingFollowingPrecedingModified PrecedingUnadjusted

Holiday CalendarLondonNew YorkTarget2

Swap Rate inputs:

Index

No of Payments

Swaps Rate

1

Hit me to add a swap rate

Hit me to generate Yield Curve

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