Can somebody post Graeme West's VBA code for monotone convex interpolation if you have? I was struggling to find it.
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2$\begingroup$ I’m voting to close this question because it's not on topic for QSE. $\endgroup$– amdoptJul 11, 2022 at 21:30
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$\begingroup$ This is used for interpolating treasury yield curve and related to quantitative finance $\endgroup$– Sarat MuppanaJul 11, 2022 at 21:59
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2$\begingroup$ I don't know about this code but maybe @luigiballabio knows, see this GH issue. $\endgroup$– Bob Jansen ♦Jul 12, 2022 at 8:18
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$\begingroup$ Can you comment on why this is useful for yield curve interpolation? Or provide any references about it? $\endgroup$– SuavestArtJul 12, 2022 at 14:26
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$\begingroup$ It's used for Treasury yield curve construction. It has references in the Treasury website. $\endgroup$– Sarat MuppanaJul 12, 2022 at 14:36
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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.
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$\begingroup$ Thank you for your search. Are you able to download this excel workbook? $\endgroup$ Jul 12, 2022 at 13:12
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$\begingroup$ Great . Thank you for this. I was able to download it. $\endgroup$ Jul 12, 2022 at 17:06
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1$\begingroup$ @SaratMuppana Please click the check mark to accept this answer. $\endgroup$– Bob Jansen ♦Jul 14, 2022 at 7:23