## Interp Method

Key

**in Yield Curve refers to a choice from the list Interp Method**

*Interp Method*If Modelled Qty = Discount is used, log-based interpolated methods should be preferred over non-log-based.

Otherwise, non-log-based interpolated methods should be preferred over log-based.

The following interpolation methods require additional specifications that are defined in an object of type Interpolation that is optionally supplied through the key Interpolator

Cubic

Log Cubic

Comp Cubic

Mxd Lin Cubic

Log Mxd Lin Cubic

Mxd FwdFlat Cubic

Log Mxd FwdFlat Cubic

Mxd BwdFlat Cubic

Log Mxd BwdFlat Cubic

Convex Mono

Comp Linear

If the value here is Cubic or Log Cubic and the

**is not supplied, the assumed default**

*Interpolation***object is such that the value is equivalent to Nat Cubic or Nat Log Cubic respectively.**

*Interpolation*Testing shows that Nat Cubic (or its log equivalent) is generally a good choice that leads to smooth forward curves, but it may lead to bootstrapping failure in certain cases.

A more stable choice with slightly less smooth results is the Kruger Cubic (or its log equivalent).

The Lagrange Cubic (or its log equivalent) is very smooth and stable but it has the drawback that its bootstrapping is more time consuming.