November 16: DvD Insights - Basic Building Blocks of Yield Curve Smoothing, Part 1
Location: Honolulu
Author:
Date: Monday, November 16, 2009
After our last series of posts on yield curve smoothing, we had a very productive exchange with Leif Andersen of Bank of America, who’s done a nice paper on tension splines. We’ve also plunged into Bob Jarrow’s archives and are trying to unearth an unpublished gem of a paper that Prof. Jarrow and long-time research partner Tibor Janosi did in 2002.
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