Hi,Does anyone know of an numerical library that implements quartic (degree 4) polynomial splines?Thank you.

Seeing no one has responded.To be honest, I have not seen such code. Cubic and even quintic spline interpolation is more common.I reckon you could easily program it up. Is there a compelling reason for quartics?

QuoteOriginally posted by: stasHi,Does anyone know of an numerical library that implements quartic (degree 4) polynomial splines?Thank you.time ago I saw something in g+

In my experimentation quadratic splines offer the best trade off (in the polynomial splines class, so ignoring something like B-splines) between smoothness and non-locality when splining the instantaneous forward curve using optimization. While it is easy to implement "naively" the linear equations that arise are banded and should be solved as such in order to optimize performance. I was looking for a package that would do it all. I've been looking and am supprised this is not readily implemented. I know for a fact several major dealers use this spline model even though it is not widely discussed.

ExSan, do you happen to remember where?

QuoteOriginally posted by: stasIn my experimentation quadratic splines offer the best trade off (in the polynomial splines class, so ignoring something like B-splines) between smoothness and non-locality when splining the instantaneous forward curve using optimization. While it is easy to implement "naively" the linear equations that arise are banded and should be solved as such in order to optimize performance. I was looking for a package that would do it all. I've been looking and am supprised this is not readily implemented. I know for a fact several major dealers use this spline model even though it is not widely discussed.Normally all these have a name/label like Akima, Hyman, etc. Quotequadratic splines ???Your title states 'quartic'. Which one is it?

I meant quartic (degree 4). Polynomial splines are desirable because various integrals such as curvature (which serves as a penalty term during optimization ) are easily computed

QuoteOriginally posted by: stasI meant quartic (degree 4). Polynomial splines are desirable because various integrals such as curvature (which serves as a penalty term during optimization ) are easily computedPlan B; do you have a reference to the model? I suspect it's just a matter of solving a banded matrix system?