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- surya2cents
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Monotone convex interpolation set up
I am trying to use monotone convex interpolation described in the Hagan-West paper. Say to make things easier, we are in a single curve framework and use 3m-libor swaps upto 20 years. For Hagan-West we need all the 3m forwards used in the longest swap as inputs, giving us 20 * 4 = 80 3m forwards equally spaced, 3m apart. But we do not have 80 instruments. So how do we set up the solver ? What am I missing?