Description: Discount rate curve construction has been a topic of renewed interest following recent changes in financial reporting standards. Interpolation is a key component of curve construction and can be conducted via an assortment of methods. This article explores six popular interpolation techniques and assesses how they perform with regards to desirable features of such methods: continuity of forwards, stability and locality, simplicity, and market consistency.

Description: We explore the considerations regarding discount rates in the new US GAAP Targeted Improvements, including selection of observable rates and methods for extrapolations rates where there is no observable data.