From: A survey-based estimation of the Swiss franc forward term premium
Libor futures (in %) | 3M | 12M |
---|---|---|
Spline interpolation | 1.917 | 2.171 |
Polynomial interpolation (1 day) | 1.917 | 2.171 |
Polynomial-spline (avg.) | 0.000 | 0.000 |
| polynomial-spline | (avg.) | 0.002 | 0.002 |