SAP Banking - Cublic Spline Interpolation

[Former Member]

Hi Gurus

We are trying to deconstruct the way SAP does cublic line interpolation and possibly replicate it for business users using other software - either matlab or scilab.

We referred to SAP note 163598 - but unable to decompose the hermitian basis functions into determinants - SAP seems to be using a version of the green element method in this.

Can anybody throw some light on the process - i.e. given a set of points, constructing the determinant equations ? We are using SEM-PA funds transfer pricing.

Any leads would be gratefully carried forward

Thanks

Prasad

[Former Member]

Oops...the whole thing is about Yield curve interpolation in treasury.

Regards

Prasad