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Linear Interpolation of Interbank Offered Rates - A Case Study of LIBOR & NIBOR

Interbank offered rates are benchmark interest rates at which a selection of banks can borrow and lend to one another in a given currency on a short-term basis. However, these rates are only available for certain tenors thereby creating the need to interpolate rates for tenors without directly observable rates. The aim of this paper is to discuss a practical method for linearly interpolating interbank offered rates with a special focus on the London Interbank Offered Rates (LIBOR) and the Nigerian Interbank Offered Rates (NIBOR).