Can somebody give me the easiest way to interpolate a cubic spline curve in excel? Most of the curves i want to interpolate have 7 points so I need a total of 24 equations to abide by the constraints I need to use for the 6 polynomials. The way I’m thinking about is probably not the best way to do it because it involves a lot of steps to arrive at the 24 equations and matrix determinants. I know the excel function MDETERM will give me each determinant but I would still have to write a macro that would have to run through the matrix to arrive at the 24 determinants…And since my known points on the curve will change on a daily basis, I would need to have the macro recalc all the equations and determinants and the interpolated points…since i’m working with many curves, this macro may run forever…any ideas? thanks.
Google turns up the following package for free: http://www.xlxtrfun.com/XlXtrFun/XlXtrFun.htm There’s lots of spline-fitting software out there. I think macro code for this would run nearly instantly but if it isn’t fast enough, there are plenty of dll’s out there you can run from Excel that fit splines.
joey - you da man - this is fn great
What are you using this for If you don’t mind me asking?
cfa_gremlin, I’d suggest just writing everything in VBA. I remember it wasn’t difficult implementing cubic spline interpolation in C++ when I was in college.
“What are you using this for If you don’t mind me asking?” - for modeling swap curves, govt curves, and cds curves to have a feel for carry and rolldown effects for any time horizon…it’s good to have for trading