Interpolation
This function enables the system to interpolate interest rates for terms that are not defined in the system.
The system uses the discount factors d that were calculated at the grid points when the yield curve was created to calculate zero interest rates ZCC with continuous interest calculation (continuous compounding zero) by solving the equation illustrated in the figure below using T:
The term T is basically represented in ACT/365 format and measured between the validity date of the yield curve and the payment date.
The system performs linear interpolation for the interest rates with this representation to the exact day, that is, the interpolated continuous compounding zero rate ZX is determined as illustrated in the figure below:
The system then calculates the discount factor dX using the equation shown in the figure below:
