Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.

Your application may or may not be related to yield curve fitting, but either way this classic from the Great Dane is worth a look: https://papers.ssrn.com/sol3/papers.cfm ... _id=871088

Thanks for the paper! It is very interesting.Your application may or may not be related to yield curve fitting, but either way this classic from the Great Dane is worth a look: https://papers.ssrn.com/sol3/papers.cfm ... _id=871088

- Cuchulainn
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What problem are you trying to solve? Do you want monotonicity and convexity?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

What about Stineman interpolation ( https://pages.uoregon.edu/dgavin/software/stineman.pdf )?Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.

- Cuchulainn
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Akima

Hyman-Dougherty

Hyman-Dougherty

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

Thanks!Akima

Hyman-Dougherty

"Akima" has a lot of meanings in google, could you provide more details please?

I found this paper https://www.researchgate.net/publicatio ... erpolation (I haven't looked it yet).

"Do you want monotonicity and convexity?"

Yes I need monotonicity, convexity as main constraints and some others. Now I solve it as cubic spline + linear constraints and it works for me. But it seems very unnatural make cubic spline behave convex.

Thanks! I'll see it.

- Cuchulainn
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In the book "C# In Financial Markets (Wiley)" I wrote with Andrea Germani we discuss about 7 methods for fixed-income. The most robust for us were Dougherty/Hyman, Akima and Hagan/West (I would avoid cubic splines in this context).Thanks!Akima

Hyman-Dougherty

"Akima" has a lot of meanings in google, could you provide more details please?

I found this paper https://www.researchgate.net/publicatio ... erpolation (I haven't looked it yet).

"Do you want monotonicity and convexity?"

Yes I need monotonicity, convexity as main constraints and some others. Now I solve it as cubic spline + linear constraints and it works for me. But it seems very unnatural make cubic spline behave convex.

And in Quantlb

https://rkapl123.github.io/QLAnnotatedS ... ation.html

Akima 1970, 1991

https://en.wikipedia.org/wiki/Akima_spline

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

- Cuchulainn
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And kind of impossible, especially for non-equidistant grid point ==> overshoot..

However, it is popular with US COVID gov advisors because of pleasing curves.

https://thecorrespondent.com/465/proble ... 0-ba285389

He described the model as one meant to level the swings of reported cases which vary each day, and he used “just a canned function in Excel, a cubic polynomial,” according to the newspaper.

The curve in the cubic model reaches its peak in mid-April and swoops back down through the end of May.To better visualize observed data, we also continually update a curve-fitting exercise to summarize COVID-19's observed trajectory.Particularly with irregular data, curve fitting can improve data visualization.As shown, IHME's mortality curves have matched the data fairly well. pic.twitter.com/NtJcOdA98R

— CEA (@WhiteHouseCEA) May 5, 2020

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

Hello. I can provide that quite easily with support vector machines, whatever the dimension is. Could you describe more precisely the fitting curve ?

- Cuchulainn
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NDA. BTW can you reproduce the wacky output?Hello. I can provide that quite easily with support vector machines, whatever the dimension is. Could you describe more precisely the fitting curve ?

Trump Administration. Send your queries to Pennsylvania Avenue.

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

? I dont understand your answer cuchullain. Could you precise please ?NDA. BTW can you reproduce the wacky output?Hello. I can provide that quite easily with support vector machines, whatever the dimension is. Could you describe more precisely the fitting curve ?

Trump Administration. Send your queries to Pennsylvania Avenue.

- Cuchulainn
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Please look at those links I posted for the answer.

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

I did. You talk about yield curve interpolation, covid interpolation, stineman interpolation. We can add monotone convex interpolation with perfect fit as asked by the owner of the post. But without the problem description, aren t we blind ?