Interpolating Yield Curve

[addict951]

Hi, I would like to ask you whether you know an excel addin for
interpolation a missing maturity in the yields? For example I have the
5 and 7 years and would like to interpolate the 6th year. Many Thanks

 

[Fred Smith]

If A1 has 5-year rate, and A2 has 7-year rate, then the arithmetic
interpolation is:

=a1+(a2-a1)/2

If you want to do some other interpolation, then post back. Simply request
help on interpolating data. Also, be sure to mention how many data points
you have. You can't do much with two data points, but if you had more that
would help.

Regards,
Fred

 

[David Biddulph]

For an arithmetic mean you could also use =AVERAGE(A1:A2) or =(A1+A2)/2

If you are looking at a yield percentage, you may want something like
=GEOMEAN(1+A1,1+A2)-1

 

[addict951]

thanks a lot for your help. I have all the term structure from 1year
to 10year but missing the 6 year and in total there are 400
observations per maturity.