- What general approaches could you recommend for modeling spot rates(for different maturities) and forward rates?(eg for LIBOR)
- I need to generate scenarios for term-structure of interest rates.
- What is an optimal way to generate scenarios for interest rates when the number of scenarios is restricted(# of paths is bounded)? I want to build optimal ensemble of trajectories.
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$\begingroup$ This question is too broad / not specific. Can you please elaborate on the context, i.e. what are you trying to do, is this for a Monte Carlo simulation, what is the asset type, what are your risk factors? $\endgroup$– jaamorAug 24, 2015 at 20:48
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$\begingroup$ Hi, jamoor. Thanks for your answer. I've corrected the question. $\endgroup$– Vlad PimkinAug 26, 2015 at 20:04
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$\begingroup$ The question is still too broad, there are books on this :-) As for 3 if you're referring to numerical efficiency then try in general variance reduction methods; among those applicable in most contexts are stratified sampling or (its advanced high-dimensional version) Quasi Monte Carlo, they can be very tricky though. $\endgroup$– QuartzAug 28, 2015 at 11:38
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$\begingroup$ @Quartz is right, I would like to propose this question in two parts: (1, 2) and 3. This will still be broad but I hope answerable. $\endgroup$– Bob Jansen ♦Aug 28, 2015 at 11:40
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$\begingroup$ Not reopening for now but as said, edits are welcome. $\endgroup$– Bob Jansen ♦Sep 2, 2015 at 8:36
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