how to fit dividend yield and use obtained function in an integral

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Daniel 2013-7-8

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Hi guys,

I need to fit a function to the data on the dividend yield and risk free rate. Then I'll use this function to compute integrals and discount the option price. The problem is that when I fit the data with a cubic function,the fit quality is quite bad. Everyone advices to do it via cubic splines. However I don't understand how should I compute integrals afterwards, and where to get the parameters for each interval. Thanks.

Daniel

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Shashank Prasanna 2013-7-8

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Use FIT from the curve fitting toolbox to fit a spline:

http://www.mathworks.com/help/curvefit/fit.html

Scroll down for spline examples.

You can integrate and differentiate the spline once you've performed the fit.

http://www.mathworks.com/help/curvefit/integrate.html

You can also get a whole bunch of information about the spline including the once are looking for.

http://www.mathworks.com/help/curvefit/fit-postprocessing.html

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Daniel 2013-7-8

b(t) is an affine function in t. When it is a sum, I can integrate separately. But when I need to multiply known b(t) function by the fitted one and then integrate, how can I do it? both functions depend on t of course

Daniel 2013-7-8