topic CUBIC SPLINE - YIELD CURVES in Statistical Procedures

CUBIC SPLINE - YIELD CURVES

AlexeyS — Sun, 20 Nov 2022 08:04:43 GMT

Hi All,

Maybe somebody knows how to apply CUBIC SPLINE for yields to create Yield Curves, but not using proc iml?

Thank you,

Alexey

Ksharp — Sun, 20 Nov 2022 09:01:15 GMT

Check MSPLINT Function .

sbxkoenk — Sun, 20 Nov 2022 09:52:30 GMT

See here :

Koen

Rick_SAS — Sun, 20 Nov 2022 11:45:38 GMT

For statistical modeling, other kinds of splines (B-splines and penalized B-spline) might be preferable. If you are willing to use other kinds of splines, there are many regression procedures in SAS that support using splines to model nonlinear effects by using the EFFECT statement. See "Regression with restricted cubic splines in SAS" and the follow-up article "An easier way to perform regression with restricted cubic splines in SAS."