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Quantitative Finance · Begrippenlijst

Wat is Flat-forward interpolation?

Definition 1.6 Rates, Credit, XVA and Risk · Hoofdstuk 1 — Curve Construction

Flat-forward interpolation makes ln⁡P(T)\ln P(T) linear between pillars: the instantaneous forward is constant on each interval and equal to its discrete forward, and jumps at the pillars.

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