cubic spline

cubic spline
A mathematical technique used for yield curve smoothing. A cubic spline fits a different third degree polynomial to each interval between data points (0 to 1 years, 1 to 2 years, 2 to 3 years, etc.) Either yields or prices can be smoothed using cubic splines. This smoothing technique is the most common and works well for spot rates.
See smoothing. American Banker Glossary

Financial and business terms. 2012.

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