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3
votes
0answers
60 views

Interpolation of forward zeros-coupons bonds simulations for missing maturities (ESG data)

I have a set of economic scenarios simulated with Barrie and Hibbert ESG. The stochastic model for interest rates used is Libor Market Model Shifted. I am facing a problem with zeros-coupons prices. ...
2
votes
0answers
37 views

Using Market Prices of Bonds to Model the Discount Curve with a Polynomial (Math + R)

I have a small program I'm building to interpolate the discount curve from a portfolio of benchmark bonds. If anyone has any guesses as to whether it's my process, or my code that's messed up I would ...
2
votes
0answers
68 views

Multivariate interpolation for estimating FDM in-between grid points

After implementing some FDM to price some option, there are gaps between our grid points that may be of interest. From reading around, it appears common to use bilinear interpolation to estimate ...
2
votes
0answers
282 views

Funding spread in FVA calculation

For the FVA calculation, is the funding spread (either borrowing or lending) treated as a piecewise constant function (i.e., if the length of the exposure is 5 month and I know the 3 and 6 months ...
1
vote
0answers
443 views

Interpolate option volatility in delta space in R

I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
0
votes
0answers
37 views

Cubic spline interpolation in excel (yield curve from forward curve)

I have an excel spreadsheet that I'm trying to make sense of that uses the data from a forward curve to project a yield curve through the use of cubic spline interpolation. The sheet has 6 different ...
0
votes
0answers
11 views

CDS Premium table Interploation for the Arrear case

If CDS spreads are given for say year end 1,2,3,4,5 .That means these premium payments are made in arrears. In that case we need to apply interpolation tools. But for which particular points do we ...