Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Cubic, natural and monotone splines, Runge phenomenon?

Ook bekend als: cubic spline · natural cubic spline · monotone cubic interpolation · Runge phenomenon

Definition 28.5 Quantitative Methods · Hoofdstuk 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).
Lees in het hoofdstuk →