Volatility Interpolation
Last updated 9 November 2026
Function reference › Risk and Performance Measures › Volatility
1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].
GIA_RPM_VolatilityInterpolation
Interpolates the volatility for a specific date (or for a number of days), given volatility curve. The interpolation method is linear in variance.
GIA_RPM_VolatilityInterpolation(VolDates, VolRates, TDate)| Argument | Use | Description |
|---|---|---|
VolDates | Required | The array of dates or days in volatility curve. |
VolRates | Required | The array of rates in volatility curve. |
TDate | Required | The target date for the interpolation. |