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How does one estimate theta in the Ho-Lee model from a yield curve?
I have a yield curve constructed using linear interpolation with data points every 3-months for US treasuries.
I would like to use that calibrate a Ho-Lee model, but I can't wrap my head around how ...
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What to do with linear regression or regression splines outside of the training range?
This is a cross-post from here
In my question on a load forecast model using temperature data as covariates I was advised to use regression splines. This really seems to be a/the solution.
Now I ...
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Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?
Observing the negative interest bonds in Switzerland, Denmark, GErmany the value of higher presently (credit-free) outgoing cash flows seems less important than the value of lower future (credit-free) ...
