Forward Rate Curve Smoothing

Robert A. Jarrow

doi:10.1146/annurev-financial-022114-112903

Annual Review of Financial Economics

Volume 6, 2014

Review Article

Forward Rate Curve Smoothing

Robert A. Jarrow^1,2
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Samuel Curtis Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853; email: [email protected] Kamakura Corporation, Honolulu, Hawaii 96815
Vol. 6:443-458 (Volume publication date December 2014) https://doi.org/10.1146/annurev-financial-022114-112903
First published as a Review in Advance on October 13, 2014
© Annual Reviews

Abstract

This article reviews the forward rate curve smoothing literature. The key contribution of this review is to link the static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this review introduces more economics to an almost exclusively mathematical exercise, and it identifies new areas for research related to forward rate curve smoothing.

Keyword(s): forward rate curves, HJM model, polynomial splines, smoothed splines, term structure evolutions

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2014-12-01

2025-06-16