Cubic Spline VBA code

[jimmyvba]

Hi Guys,

I have been searching the net for a piecewise cubic spline fitting vba code in which I can specify the knots in the curve. Does anyone have it available? I have had no luck finding it so far. All I get is cubic spline codes without having the flexibility to do it piecewise.

I am basically trying to fit the term structure of US interest rates using this interpolation method.

Thanks.

 

[Juggler_IN]

A further question, how do we calculate m (25 in this case).

If we want to have 1000 pairs then what would be m? the formula to calculate it?

 

[shg]

how do we calculate m?

    ' y() contains (by definition) n + 1 points: y(0), y(1), ..., y(n)
    ' The n + 1 points define n segments.

    '   iType Description                        Points Returned
    '     1   Open (natural) spline              1 + m * n
    '     2   Closed spline w/o closing segment  1 + m * n
    '     3   Closed spline w/ closing segment   1 + m * (n + 1)
    '     4   Tangent spline                     1 + m * (n - 2)

Solve for m.

 

[shg]

m is the number of points you want on each segment.

 

[aliagha]

Hi

For the purpose of finding spline functions in VBA, I saw the code presented here and another code i this page: Excel Help for Gilt Curve

I appreciate it if you answer my question:


[FONT=&quot]I guess that these codes assume "zero value" for the second derivatives of the first and last points of the data which are needed as the boundary conditions. Am I right?

thanks[/FONT]

 

[mrtacen]

Halo everyone,

I just recently joint this community. About two weeks a go, I was attempted to write cubic-spline interpolation codes without observing the above conversation. (Two years after the last conversation) I can share with you all as follow: https://plus.google.com/u/0/102720267255619963069/posts/ZvcTNXLhykG

I hope these codes can be useful for everyone.

Regards