• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Adding two data sets, monthly and quarterly?

tomadom

Joined
10/9/16
Messages
5
Points
11
I'm not sure if I've posted in the right section so please let me know if so.

I have two data sets that I want to add together. Both $ values.
The problem is that one is Daily data and the other is Quarterly data.

I am trying to picture how to do this. It wouldn't make sense to just add the quarterly figures to the end of quarter figures in the daily data but I was thinking that if I interpolate the quarterly data for the individual corresponding days, in a linear fashion (y = mx+b) then it can fill in the gaps between the quarterly data to make daily data? Or, should I be using a more curved relationship between the quarterly data to fill in for the daily values (Cubic Spline Interpolation), and if so Why? Would that work or is there something I'm not considering?

I've attached a file to show the two data sets in a picture form.

Chart_data_linear.png
 
GIGO

There are many interpolators; Cubic splines overshoot etc. The best ones we found were West-Hagan, Hyman 89 and Akima.

Depends what you want; nice plots or something else.

http://finmod.co.za/Monotone Convex Interpolation.pdf

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.529.9594&rep=rep1&type=pdf

linear fashion (y = mx+b) then it can fill in the gaps between the quarterly data to make daily data?
The accuracy will almost surely be very unreliable.. Good "linear interpolation error".
 
Last edited:
I genuinely feel that in the absence of any real reason to assume that the data follows a certain pattern I should probably use straight lines as I have shown bridging the Quarterly data above. But I'm going to program all this using C++ so I just wanted to make sure I wasn't missing a major point. Just a linear bridge between quarterly figures may be all I need here.

I'll look up Brownian Bridge.

I'm really just trying to get the best interpretation of economic data I can. The appearance of the chart isn't so important.

Thanks for the replies. If anyone else would like to comment please do so as I'm interested in all perspectives here.
 
Back
Top