Metrics for curve quality

When constructing curves, are there any generic and quantitative metrics that can be computed for any kind curve(government, corporate, swap, exc.. exc..)?

• Are you interested in calculating the curve's length, for any kind of curve? – zetyquickly Nov 4 '16 at 20:15
• @zetyquickly Sure, I can see that as being useful. – pyCthon Nov 5 '16 at 1:55

RMSE (root mean squared error) is by far the most commonly used quantitative measure for the "goodness-of-fit" of a yield curve. It is simply $$\text{RMSE} = \sqrt{\frac{\sum_{i=1}^n (P_i - \hat{P}_i)^2}{n}},$$ where $P_i$ is the market price (or yield) of an input instrument, and $\hat{P}_i$ is its price calculated using the curve. RMSE is usually the quantity you minimize when building a fitted curve.