Timeline for Smoothing Term Curve
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 1, 2014 at 4:44 | answer | added | Helin | timeline score: 3 | |
| Apr 2, 2014 at 6:06 | comment | added | Probilitator | Have you considered Svensson-model ? | |
| Apr 2, 2014 at 1:29 | answer | added | Aksakal almost surely binary | timeline score: 0 | |
| Jan 31, 2014 at 22:33 | comment | added | John | You might look into interpolation techniques that incorporate liquidity (assuming you can get the data). This would effectively put less weight on bonds that aren't being actively traded. Liquidity is an important consideration in volatility surfaces so you should be able to find some research on it. Alternately you can try a parsimonious model, like Nelson-Siegel (which there should be some questions about), and take deviations from that to identify outliers. | |
| Jan 3, 2014 at 15:06 | comment | added | Phil H | Avoid high order polynomials, they can be unstable and are quite likely to give you a lot of overshoot. Splines are piecewise to reduce this risk. | |
| Aug 4, 2013 at 19:55 | answer | added | KAT | timeline score: 0 | |
| Aug 2, 2013 at 20:49 | history | tweeted | twitter.com/#!/StackQuant/status/363401164748242944 | ||
| Aug 2, 2013 at 15:49 | review | First posts | |||
| Aug 2, 2013 at 20:06 | |||||
| Aug 2, 2013 at 15:34 | history | asked | ryzhiy | CC BY-SA 3.0 |