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Quantitative Finance · Glossaire

Qu'est-ce que « Cubic, natural and monotone splines, Runge phenomenon » ?

Aussi appelé : cubic spline · natural cubic spline · monotone cubic interpolation · Runge phenomenon

Definition 28.5 Quantitative Methods · Chapitre 28 — Transforms, Interpolation and Algorithmic Differentiation

A cubic spline through (xi,yi)(x_i, y_i) is a piecewise cubic with continuous first and second derivatives; a natural cubic spline has zero second derivative at both ends, and its second derivatives at the nodes solve a tridiagonal system. Monotone cubic interpolation chooses the node slopes of a piecewise cubic Hermite interpolant so that it is monotone wherever the data are. The Runge phenomenon (Runge, 1901) is the growth, near the ends of the interval, of the error of polynomial interpolation at equally spaced nodes as the degree increases.

Instantaneous forward curves implied by three interpolations of the Treasury curve of 3 July 2023, with the pillar yields (treated as zero rates). Data: FRED series DGS1MO to DGS30 (Board of Governors of the Federal Reserve System, H.15).
Figure 28.2. Instantaneous forward curves implied by three interpolations of the Treasury curve of 3 July 2023, with the pillar yields (treated as zero rates). Data: FRED series DGS1MO to DGS30 (Board of Governors of the Federal Reserve System, H.15).
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