Linear interpolation of rates

CFA General
#1

Hello guys,

I am confused about how to do interpolation when rates are presented in the following form?

0-7 days 9.68% 8-15 days 9.71% 16-30 days 9.70% 31-60 days 9.58%

The linear interpolation formula I am using is

Interpolated rate = short term rate + ((long term rate - short term rate)/Days long term - days short term)) * (days of the desired rate - days short term)

I am confused as to how to calculate “days long term” and “days short term”.

Also, please tell what would be the 34 day interpolated rate?

Thanks

#2

I’d pick the midpoint of each range as the number of days.

So, 9.68% applies to 3.5 days, 9.71% applies to 11.5 days, and so on.

#3

will be it okay if use 7 days and 30 days for interpolation of 14 day rate?