FinanceModels.Spline API Reference

Spline is a module which offers various degree splines used for fitting or bootstraping curves via the fit function.

Available methods:

• Spline.BSpline(n) where n is the nth order. A nth-order B-Spline is analogous to an (n-1)th order polynomial spline. That is, a 3rd/4th order BSpline is very similar to a quadratic/cubic spline respectively. BSplines are global in that a change in one point affects the entire spline (though the spline still passes through the other given points still).
• Spline.PolynomialSpline(n) where n is the nth order.

This object is not a fitted spline itself, rather it is a placeholder object which will be a spline representing the data only after using within fit.

Convenience methods which create a Spline.BSpline object of the appropriate order:

• Spline.Linear() equals BSpline(2)
• Spline.Quadratic() equals BSpline(3)
• Spline.Cubic() equals BSpline(4)

Notes on Fitting:

• fit(spline,quotes) will fit entire curve at once, with knots equal to the maturity points of the Quotes
• fit(spline, quotes, Fit.Bootstrap()) will curve one knot at a time, with knots equal to the maturity points of the Quotes

Generally, the former will be preferred for performance reasons.

Examples

using FinanceModels
using BenchmarkTools
rates = [0.07, 0.16, 0.35, 0.92, 1.4, 1.74, 2.31, 2.41] ./ 100
mats = [1, 2, 3, 5, 7, 10, 20, 30]

qs = CMTYield.(rates, mats)
c = fit(Spline.Linear(), qs) # will fit entire curve at once, with knots equal to the maturity points of the `Quote`s
c = fit(Spline.Linear(), qs, Fit.Bootstrap()) # will curve one knot at a time, with knots equal to the maturity points of the `Quote`s

Spline.Cubic()

Create a cubic B-spline. This object is not a fitted spline itself, rather it is a placeholder object which will be a spline representing the data only after using within fit.

Returns

• A BSpline object representing a cubic B-spline.

Examples

julia> Spline.Cubic()
BSpline(4)

Spline.Linear()

Create a linear B-spline. This object is not a fitted spline itself, rather it is a placeholder object which will be a spline representing the data only after using within fit.

Returns

• A BSpline object representing a linear B-spline.

Examples

julia> Spline.Linear()
BSpline(2)

Spline.Quadratic()

Create a quadratic B-spline. This object is not a fitted spline itself, rather it is a placeholder object which will be a spline representing the data only after using within fit.

Returns

• A BSpline object representing a quadratic B-spline.

Examples

julia> Spline.Quadratic()
BSpline(3)