Let say I have few discrete points for
Discount factors and I want to create a continuous curve for interpolation and extrapolation at custom dates.
I was told that, instead of working with the raw discount factors, I should work with the
Logarithm of the discount factors, so that negative interest rates can be taken into consideration.
I failed to understand if it is really required to work with the
logarithm of discount factors to address the negative interest rates.
Can you support or negate above assertion?
Thanks for your time.