WebCab Portfolio for COM v5.0 Demo

Interpolation Class

Constructs the Efficient Frontier from a finite set of interpolation points.

For a list of all members of this type, see Interpolation Members.

System.Object
   Interpolation

public class Interpolation

Remarks

In particular, we offer methods based around the cubic interpolation (recommended approach) and polynomial interpolation procedures. This class contains several methods for constructing continuous functions from discrete data points. Such methods are generally referred to as Interpolation and Extrapolation methods.

Functionality Offered

With this class we offer the following functionality:

How to construct the Efficient Frontier using Interpolation

As mentioned above the main aim of these interpolation procedures is to provide the means by which the Efficient Frontier can be constructed from a finite set of points on which it can be evaluated by using the method: CalculateEfficientFrontier from Markowitz class. The expected return and risk coordinate components of these points can then be read off by using the methods GetEfficientFrontierExpectedReturns and GetEfficientFrontierPortfolioRisks from Markowitz class.

Once the interpolation points are known we are able to construct the interpolation around these points and then in the case of cubic spline interpolation evaluate the Efficient Frontier at an arbitrary value points by using one of the methods: CubicSplinePointwise, CubicSplinePointwisePreEvaluation.

Requirements

Namespace: WebCab.COM.Finance.Portfolio

Assembly: WebCab.COM.PortfolioDemo (in WebCab.COM.PortfolioDemo.dll)

See Also

Interpolation Members | WebCab.COM.Finance.Portfolio Namespace