CUBIC SPLINE - YIELD CURVES

[AlexeyS]

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]

Check MSPLINT Function .

[sbxkoenk]

See here :

Cubic spline interpolation of yield curve
Posted 07-27-2017 03:38 PM (1639 views)
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Cubic-spline-interpolation-of-yield-...

HOW CAN I USE PROC TRANSREG TO GENERATE SPLINES IN SAS? | SAS FAQ
https://stats.oarc.ucla.edu/sas/faq/how-can-i-use-proc-transreg-to-generate-splines-in-sas/

Koen

[Rick_SAS]

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."