Yield Curve Extrapolation Methods
www.soa.org › 2019 › yield-curve-reportextrapolation method and the Linear First-Order (Definitions) extrapolation method, along with a few other first-order extrapolation methods. The more complex models include the Nelson-Siegel/Svennson, Smith-Wilson, Cairns and Cubic Spline methods. The benefits and drawbacks of these methods are covered in the report.