2.2.9. Comparative chart for cubic spline and exponential interpolation
The comparison between curves made by different interpolation methods can give some hints about which method must be used.
To yield curve, its interesting to compare exponetial interpolations with cubic spline.
2.2.9.1. CSpline x Exp Command
Access:
- Menu - Metrixus | CSpline x Exp
 - ToolBar Metrixus
Description:
Mounts a comparative chart containing the interpolations by exponetial and cubic spline method to the yield curve informed. Effects only interpolations from the yield curve. This command creates a new file containing the output chart.
The data range must be a contiguous area with two columns (n lines and 2 columns) containing the interests rates by year (effective base 252) on the first column and workdays until the expiration date of each point in the second column. Must be at least 2 different points in a yield curve. Fields with text or empty are not considered. Data lesser than 1 for workdays for a point in the yield curve also not will be considered! The range of data must be selected before call this command.
One yield curve can't have more than one information to the same point in time (in example one information of future interests and other of swap's). If it occur, will prevail the bigger rate.
The points of the yield curve does not need to be sorted in time.
The chart creating without color allows a easy data printing beyond represent a better run perfomance.
Using example:
Comparison between cubic spline interpolations and exponetial of yield curve - parameters:
- Curve: A2:B11 (11 points not sorted)
| 18.75% | 20 |
| 20.65% | 220 |
| 20.70% | 300 |
| 20.40% | 140 |
| 19.15% | 40 |
| 19.75% | 80 |
| 20.71% | 350 |
| 20.60% | 180 |
| 19.40% | 60 |
| 20.00% | 100 |
Results:
Comparative chart of cubic spline interpolations and exponetial. Extrapolations simulations are not executed. It is perceived the difference in the trajectory of interpoled rates for the tow methods.
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