Can somebody post Graeme West's VBA code for monotone convex interpolation if you have? I was struggling to find it.
As mentioned by Bob in the comments, if you follow the github issue, you'll get the link to the Graeme West's Excel sheet for monotone convex interpolation. The link is now dead, but a quick search on web arxiv you could get a historical saved version of the sheet with this link. You should be able to get the VBA codes from here, assuming it is actually Graeme West's work.