BookmarkSubscribeRSS Feed
Calcite | Level 5 KG2
Calcite | Level 5

I am building a program to interpolate missing bond yield values between years. There is some sensitivities to accuracy with this type of financial data and so I need to be sure that at the very least, I am performing a cubic spline interpolation - polynomial interpolation of order 3 fitted with splines.


In using PROC EXPAND, will interpolating fill out any blanks that I ask it too, versus creating arrays, which require the same pattern of missing values? Can someone clarify this difference?


Would someone recommend that PROC EXPAND is the best way to interpolate this?


Lastly, even in reading the SAS.HELP for PROC EXPAND, I am not sure I understand the set-up for the frequency of the data that needs to be interpolated. For me, it is evenly-spaced yearly intervals.

Thank you





Ammonite | Level 13

I've used Proc Expand to do interpolation with cubic splining so I would have thought it was the way to go for you. There are lots of different parameters and options though so you'll have to decide which of them to use and yes, it will definitely fill in missing rows and I think to get end of year intervals you'd specify ALIGN=END and TO=YEAR in the Proc Expand call.

Calcite | Level 5 KG2
Calcite | Level 5

Thank you,


Can I ask how you decided that cubic spline interpolation was better for your needs than a linear interpolation??



Ammonite | Level 13

To be honest that wasn't my decision, as a jobbing programmer I just had to implement it. We were using it to convert annual series to quarterly series to benchmark against other quarterly series.



Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.

If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website. 

Register now!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 4 replies
  • 2 in conversation