fi_yield-curve-interpolate
Interpolate yield curves for any target maturities using linear, cubic spline, or Nelson-Siegel methods from observed tenors and rates.
Instructions
Yield curve interpolation: linear, cubic spline, or Nelson-Siegel.
Use when interpolating a yield curve at arbitrary maturities. Provide observed maturities and yields, plus query maturities. Returns: interpolated yields via linear, cubic spline, or Nelson-Siegel models.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| rates | Yes | Array of known rates at each tenor | |
| method | No | Interpolation method | linear |
| tenors | Yes | Array of known tenor points (years) | |
| target_tenors | Yes | Array of tenors to interpolate |