Code Set
| ID | 530 |
| Type | String |
Method used for interpolation.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| Linear | LINEAR | Linear. | Constant name: LINEAR | |
| FlatForward | FLAT_FORWARD | Float forward volatility interpolation. | Constant name: FLAT_FORWARD | |
| NaturalCubicSpline | NATURAL_CUBIC_SPLINE | Natural cubic spline. | Constant name: NATURAL_CUBIC_SPLINE | |
| MonotonePreserving | MONOTONE_PRESERVING | Variant of cubic spline that ensures positive and continuous forward rates. For yield curve interpolation. | Constant name: MONOTONE_PRESERVING | |
| MonotoneConvex | MONOTONE_CONVEX | Ensures a positive and continuous forward rate. For yield curve interpolation.. | Constant name: MONOTONE_CONVEX |
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