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piecewise constant forward rates
Hi I am looking for explanations on the piecewise constant forward rates method? how does it work and how we can use it in curve buildingas well is it equivalent to log linear discount factors? thanks !
piecewise constant forward rates
see this link for an explanation of some different methods of interpolation between discount factors and the implications for spot & forward rates.
Last edited by samyonez on November 6th, 2007, 11:00 pm, edited 1 time in total.