Linear Interpolation

frauch

I am working on automating the creation of a daily FTP curve which was easily enough accomplished below by referencing the 3 yield curves used in construction and stitching together. 

My problem occurs when I need to create a monthly curve spanning the entire tenor range.  My Excel brain began by inserting the synthetic tenor ranges into the base curve above thinking I could easily perform a linear interpolation for the (null) values using the points above and below each (null) section.  However it does not seem that I can perform the interpolation in this manner (you can ignore the FTP Rate column, that would be a simple formula adding Base Rate and Blended TLP so no interpolation needed there).

There is likely a simple solution but given I have not used Alteryx for this in the past it escapes me.  Any help would be greatly appreciated.  THANKS>

Hsandness

Hi @frauch,

If you don't need to calculate anything for the missing months e.g. 2,4,5, etc. then all you need is the following.

1. RecordID tool to give each Tenor it's own unique ID that is in sequential order.

2. Formula tool to subtract 1 from each RecordID. This will be the right input for the join tool.

3. Now, the left input is your original data being joined onto the data that has had 1 subtracted from its RecordID column. This allows us to join the current data for the Tenor month with the following Tenor months data. Which I believe is the Tenor range you're trying to calculate.

4. After the join, you can generate the missing rows using the Generate Rows tool.

5. After that, differentiate between which rows were created and which already had data. For the ones that were created you can calculate the values for their missing columns by using the data from the left and right that was output from the join tool in step 3.

Hope this helps or gets you started in the right direction.

FTP_Curve_Calculation.yxmd