Comments (2)
wjwillemse
commented on September 14, 2024
Smith-Wilson might work for interpolation. But the problem is that if you apply the SW-algorithm on the liquid points of the published data you don't get the published curve in return. EIOPA applies the SW-algorithm on (raw) observed rates and it publishes rates rounded to three decimal places. So if you would run the algorithm with these published rates you get slightly different SW-parameters and slight different rates for the non-liquid points. Why not use linear splines interpolation?
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pdavidsonFIA
commented on September 14, 2024
Good suggestion and very easy to implement :) thanks!
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