Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 86
Exercise 17

Interpolate a cubic spline between the three points (0, 1), (2, 2), and (4, 0).

Solution

We seek to fit a cubic polynomial on the interval [0, 2] and another cubic polynomial on the interval [2, 4]. These take forms:

[s1]
   
[s2]

These must satisfy conditions [2.113] to [2.116]. The first condition requires that

p1(0) = 1 [s3]
   
p1(2) = 2 [s4]
   
p2(2) = 2 [s5]
   
p2(4) = 0 [s6]

The second condition requires

[s7]

The third condition requires

[s8]

and the fourth condition requires

[s9]

 

 

[s10]

We have eight equations in eight unknowns. These can be expressed as

[s11]

which we solve to obtain

[s12]

Accordingly, our two polynomials are

[s13]

   
[s14]

 

 

website: http://www.contingencyanalysis.com
value-at-risk direct link: http://www.value-at-risk.net
copyright © Contingency Analysis, 2003