Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
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Updated
Jun 20, 2023 - MATLAB
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
Validation checks for EIOPA technical submissions written and documented in Jupyter notebooks.
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.
Example of recalculation of the EIOPA RFR curve.
Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm.
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
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All JavaScript algorithms published by OSM in one place.
All Matlab algorithms published by Open Source Modelling in one place.
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in Python.
Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates
All Python algorithms published by Open Source Modelling in one place.
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