Akima for Yield Curve Interpolation ?Jun 3, 2013 · 1 minute read · Comments
On my test of yield curve interpolations, focusing on parallel delta versus sequential delta, Akima is the worst of the lot. I am not sure why this interpolation is still popular when most alternatives seem much better. Hyman presented some of the issues with Akima in his paper in 1983.
In the following graph, a higher value is a higher parallel-vs-sequential difference.