[R-SIG-Finance] Incomplete Forward Curve

Christofer Bogaso bogaso.christofer at gmail.com
Sat Sep 1 17:24:34 CEST 2012

Dear all, let say I have a Forward Curve with few missing data for a
particular day. Means, let say on 01-09-2010 I have the Forward prices
for a stock for each months: M1, M2, ..., M24, but M10-M13 are
missing. In such case, what is best way to estimate those missing
quote, given the quotes of other months?

To say best, I mean in Finance-Industry which method is used mostly?
Is it just 'Cubic spline'? or anything else?

Can people here share their experiences on that?

Thanks and regards,

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