
Natural Cubic Splines Yield Curve 1.0 File ID: 79970 


 Natural Cubic Splines Yield Curve 1.0 License: Freeware File Size: 10.0 KB Downloads: 39
Submit Rating: 



Natural Cubic Splines Yield Curve 1.0 Description 

Description: The fitting of smooth curve through a set of data points and extention to this is the fitting of 'best fit' spline to a large set of data points which show the cerrent trend but which do not all lie above the curve. The method involves cluster analysis, that is, grouping the crude data into clusters and seed points are the limites of each cluster. The central for each clustrer become nodes through which a natural spline is fitted. There are five stages nessesary in the cluster analysis and calculation of node positions, summerised as follow: 1. starting with choosing seed points 2. determine two data point which are closest to each seed point (the nearest neighbour pair) 3. calculate the coordinate of weighted average of each nearest neighbour pair. 4. allocate the remaining data points to their appropriate cluster. 5. calculate the cordinate of the central point of each cluster, using weight average. This method can be used for approximation yield curve (with gross yields or zero yields), which is shown in those matlab code.
License: Freeware Related: nearest, closest, neighbour, Calculate, weighted, coordinate, Point, determine, Positions, Calculation, summerised, follow, choosing, starting, average, allocate, gross, Yield, yields, shown O/S:BSD, Linux, Solaris, Mac OS X File Size: 10.0 KB Downloads: 39


More Similar Code 

Bootstrap the yield curve, discount curve and the forward curve from market data
***************** BOOTSTRAPPING RESULTS **********************
Time (Years) Yield Curve  Discount Curve Forward Curve   0.51  1.2404%  0.9938  1.2366%  1.01  1.1857%  0.9881  1.1282%  1.52  1.4177%  0.9788  1.8735%  2.03 ...
Functions NELSONFUN and NELSONFIT evaluate and fit (with nonlinear leastsquares) the NelsonSiegel function, a popular yieldcurve approximation device.
Accepts a function to be approximated, and a list of x coordinates that are endpoints of interpolation intervals. Generates cubic splines matching the values and slopes at the ends of the intervals. Can generate fairly fast C code, or can be used...
By introducing the values ddeOCÂ¦ddeOCÂ¦of x and y parameters interpolate finds him and shows the equations graphically and numerically,
natural cubic spline or free boundary Enter values ddeOCÂ¦ddeOCÂ¦of x [x0 ......
This routine plots the cubicspline curve that will pass through given set of points. It is assumed that the user has knowledge of the Mathematics that is being used in the program, if he / she has to understand the logic. As a 'user of...
General Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. We also cover: Treasury's, Price/Yield, Zero Curve, FixedInterest bonds, Forward rates/FRAs, Duration and Convexity. WebCab Bonds implements...
These files introduce how Symbolic Math ToolboxdOC?D? can be used to evaluate Nelson Siegel and Svensson models, which are 2 widely used techniques for modeling yield data. We demonstrate how you can define the models in the MuPAD notebook...
Interpolation for .NET is a mathematical application which includes algorithm for calculating interpolation coefficients and interpolation in higher dimensions. Burlisch stoer algorithm can be used to provide error estimates. Users are allowed to...
This suite includes the following features: Interpolation ModulePolynomial Interpolation and extrapolation Lagrange's formula  for interpolating a function known at N points with a polynomial of degree N1 BurlischStoer algorithm  interpolates...
Add refined numerical procedures to either construct a function of one or two variables from a set of points (i.e. interpolate), or solve an equation of one variable; to your .NET, COM, and XML Web service Applications. The interpolation... 
User Review for Natural Cubic Splines Yield Curve 
