5.54 interpolate_curve

Function File: [y] = interpolate_curve (nodes, rates, timestep, interp_method, ufr, alpha, method_extrapolation)

Calculate an interpolated rate on a curve for a given timestep.
Supported methods are: linear (default), moneymarket, exponential, loglinear, spline, smith-wilson, monotone-convex, constant (mapped to previous), previous and next.

A constant extrapolation is assumed, except for smith-wilson, where the ultimate forward rate will be reached proportional to reversion speed alpha. For all methods except splines a fast taylormade algorithm is used. For splines see Octave function interp1 for more details. Explanation of Input Parameters of the interpolation curve function:
Variables:

• nodes: is a 1xN vector with all timesteps of the given curve
• rates: is MxN matrix with curve rates per timestep defined in columns. Each row contains a specific scenario with different curve structure
• timestep: is a scalar, specifiying the interpolated timestep on vector nodes
• interp_method: OPTIONAL: interpolation method: linear (default), mm,exponential,loglinear,spline, smith-wilson,monotone-convex,constant,next,previous
• ufr: OPTIONAL: (only used for smith-wilson): ultimate forward rate (default: last liquid point)
• alpha: OPTIONAL: (only used for smith-wilson): reversion speed to ultimate forward rate (default: 0.1)
• method_extrapolation: OPTIONAL: extrapolation method
• y: OUTPUT: inter/extrapolated rate

See also: interp1, interp2, interp3, interpn.