[R-SIG-Finance] Incomplete Forward Curve

Rory Winston rory.winston at gmail.com
Sun Sep 2 13:54:11 CEST 2012

On 02/09/2012, at 8:00 PM, r-sig-finance-request at r-project.org wrote:

Simple linear interpolation or cubic spline are generally used in practise. Either should be sufficient for your use case.

-- Rory

> 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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