Interpolation, Cubic or Otherwise

I found a neat little Excel Add-In that performs interpolation and specifically cubic-spline interpolation. Spline interpolation basically fills in the missing data from a series along a curve, in other words its a form of curve fitting. This is a technique that can be used for data cleaning, filling in bad or outlier prints, and more importantly in duration analysis of securities (interest rates, commodities, volatility, etc.) For example I decided to look at VT (3-month Variance Futures) versus SPX ATM straddles from November expiration to January expiry. In reality, that’s only 3 months away and here is what we get:

Without Interpolation

Without Interpolation


With Interpolation

With Interpolation

Here is the link.


~ by largecaptrader on October 12, 2009.

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