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9
votes
1answer
312 views
How do you estimate the volatility of a sample when points are irregularly spaced?
I was looking again at this question which basically haunts every quant I believe, and I was thinking about the effect of these gaps when computing volatility of the series.
Let's define the problem ...
7
votes
4answers
736 views
How to interpolate gaps in a time series using closely related time series?
I am trying to construct a daily time series of prices and returns for some large universe of securities. However, all I have available are a monthly time series of the prices/returns (as well as ...
2
votes
1answer
126 views
Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
On 10.10.2012, I have looked at the bond-rates and, both for Switzerland and Denmark, there is a discontinuity/spike at 1Y, as per below
Switzerland: ON= -0.09, 1W= -0.180, 1M= -0.230, 3M= -0.2, 6M= ...
1
vote
0answers
102 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 ...
