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Table 8 Interpolation of LIBOR futures

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