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QuantLib swap Fair Rate not the same as the constructed curve nodes

I'm having trouble getting the same nodes when evaluating Fair Rates for a Mexican TIIE swap. I think my problem is in the MXNOIS curve creation, but I'm not sure. For evaluating, I am creating the ...
Esteban's user avatar
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2 votes
2 answers
380 views

Bond curve fitting, practical question

when fitting gov bond curves, What are different logic's used by traders to set the weight for the different bonds ?
viki's user avatar
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0 answers
88 views

Bloomberg Interest Rates Swaps Curve Fitting in the presence of Serial FRA

The documentation points to a different approach than the standard linear in log discount factors. The EURIBOR 6M curve 45 is the prime example. Does anyone understand the implementation details of ...
roi0113's user avatar
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0 answers
77 views

How to best calibrate a short rate curve using (compounded) SOFR futures & swaps

If one imposes a form $r(t) = \text{...}$ on the cc. short rate, and aims to fit the short end of a SOFR (or another modern RFR) using futures, how would one best go about this within a "curve-...
CentralCee's user avatar
1 vote
0 answers
113 views

Apply monotone convex interpolation to swap rate input data

I'm trying to apply Hagan & West's monotone convex interpolation to a 6m EURIBOR (forward) curve using ESTR (already bootstrapped) for discounting. In their paper Hagan & West use discrete ...
BerndSchmitz's user avatar
1 vote
0 answers
207 views

Onshore vs offshore curve construction

Can anyone guide me to links or literature regarding onshore vs offshore curve construction? What kind of instruments do you use? Take for CNH (offshore) (vs) CNY (onshore curves) for example: For CNY ...
Benedict's user avatar
  • 326
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1 answer
805 views

Bootstrapping SOFR curve and Swap Payment Lag

Can someone provide me an intuitive explanation of how discount factors are bootstrapped for SOFR when Swaps are trading with payment delay/ lag (e.g. of 2 business days). I can intuitively derive the ...
Rohit Gajare's user avatar
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1 answer
73 views

IR risk sensitivity to curve instruments

I need to understand if the 2 approaches are equivalent: assume I am constructing a yield curve with N instruments. I would like to compute IR delta for a product using this curve. One approach is to ...
Medan's user avatar
  • 493
1 vote
1 answer
299 views

Building a Nelson-Siegel curve

I originally posted this on Mathematics, but was told my question is better suited here. I want to graph a yield curve with an extended version of the Nelson-Siegel-Svensson. I have the issue date, ...
Shambhala's user avatar
  • 113
3 votes
0 answers
92 views

Filtering options for IV surface and construction for cryptocurrencies

I'm new to quant finance and currently working on my first project.I'm trying to construct the Implied volatility surface for cryptocurrencies from deribit ( as options from deribit are the most ...
Anouer Bhy's user avatar
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1 answer
81 views

How stable are the coefficients in the Exponential Spline model?

In the model defined below for discount function, are the Beta's relative stable from day to day? If so I might use Hessian dPdB to invert the Beta changes from benchmark price changes, and then to ...
Rococo1234's user avatar
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1 answer
135 views

Curve fitting under different regions and stitching

Is there a way to fit a 2D curve under the following conditions: The curve is defined by 2 functions for x>a, and x<a Prefer a fit that is continuous and differentiable at x=a
d3rk_knight's user avatar
3 votes
0 answers
428 views

Implementation of solvers for curve construction

I'd be really interested to hear people's experiences of implementing global solvers for curve construction, especially with regard to how robust the approach is in practice, numerical performance, ...
Marco's user avatar
  • 139
2 votes
1 answer
393 views

How many parameters in a discount curve exponential spline fit?

I am investigating the ExponentialSplinesFitting class in QuantLib. I've used this fitting technique using a variety of systems in the past (including by hand!). The form is $$df(t) = \sum_{n=1}^{N}(\...
DS_London's user avatar
  • 223
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1 answer
464 views

Least Squares fit function - Python

I would like to find an approximation of deterministic function parameters with least_squares() python function but i get several issues - i am quite new in Python. Most of the issues were: https://...
Jul's user avatar
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5 votes
1 answer
1k views

Bootstrap with QuantLib: Fair Swap or zero NPV

In all brevity What is the termination condition used in QuantLib's curve bootstrapping? Can I modify this setup to my needs, e.g. can I tune this to a higher accuracy? Background When bootstrapping ...
Kermittfrog's user avatar
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0 votes
2 answers
2k views

Can Call and Put Vega be different (for the same strike)

I'm calculating the volatility of an options market (description of market below) by fitting 2 functions: 1. fitting the on book call prices 2. fitting the on book put prices And I'm getting a ...
BlackStar's user avatar
1 vote
0 answers
49 views

Which strategy did the fund most likely follow?

The following time series represents the return stream of a real hedge fund. Which strategy did the fund most likely follow? I did this data superimposition on Matlab. So, there should be some data ...
Dexter's user avatar
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0 answers
80 views

In the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? [duplicate]

I am a newbie to fixed income quant side and I am trying to understand in the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? ...
Guifan Li's user avatar
1 vote
1 answer
353 views

When Fitting Implied Vol in, implied vol=ax²+bx+c, why is better to use moneyness than delta as independent variable?

I am trying to construct a smile curve using Option data, I can either interpolate implied vol vs delta or implied vol vs moneyness.
william lee's user avatar
-1 votes
1 answer
289 views

Basis Swap Dual Curve Calibration

The long end of the Libor swap curve needs to be constructed from Basis Swaps because there are no other instruments traded. Can please someone explain the concept of Dual Curve Calibration?
emcor's user avatar
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1 vote
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CME Futures used in building LCH USD swap curve

To build a LCH swap curves, common benchmarks include cash rates, euro dollar futures and swaps. However, the euro dollar futures only exist in CME. So when you use euro dollar futures (only exist in ...
Peaceful's user avatar
  • 734
4 votes
2 answers
2k views

What is the point of volatility curve fitting?

What is the point of fitting curves to the implied smile in the market? (Other than pricing exotics where the hedging instruments are vanillas). How does fitting a vol curve help you trade/market make ...
roz's user avatar
  • 969
0 votes
0 answers
182 views

Gatheral's SVI implementation in Java/Scala

I am trying to fit equity option implied vols using SVI model in Java, and I am using apache math commons library. Some of the option expiries fit very well, but others are completely off, and I am ...
armulator's user avatar
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3 votes
0 answers
1k views

Implementation of Generalized Hull-White interest rate model

I am looking for implementation in R (or Matlab) of the Generalized Hull-White interest rate trinomial tree according to the following paper: Interest Rate Trees: Extensions and Applications (2017) . ...
Davide's user avatar
  • 31
2 votes
0 answers
1k views

Fitting Gatheral's SVI model

I was considering using Gatheral's formula for fitting option skew. In the specific (commodity) market that I am concerned with, the underlying is ca. at 50, and typically 5 integer strikes left and ...
ZRH's user avatar
  • 1,671
4 votes
2 answers
2k views

Fitting Function for Skew

I am faced with having to fit skew/smile to option quotes with different strike and same maturity. In order to keep things reasonably simple and to avoid potential artifacts from fitting higher order ...
ZRH's user avatar
  • 1,671
3 votes
0 answers
427 views

Volatility surface fitting, interpolation and extension from sparse data

There are some nice papers about constrained spline fitting essentially giving you a smoothing and arb free surface. I am focusing on the oil market here: The market is essentially split in a very ...
user13655's user avatar
  • 215
1 vote
1 answer
99 views

In search of nice (approx) function forms of the volatility of cumulative simple returns

Let's consider a period $t\in[0,T]$, and let the simple return over year $t$ ($1\le t\le T$) be $r_t$. Assume $r_t$ are iid normal. The cumualative simple return over the whole period $[0,T]$ is $$R_T=...
Vim's user avatar
  • 903
1 vote
2 answers
193 views

Why do constant maturity bonds account for modified duration?

One can create a constant maturity treasury (CMT) by building a zero coupon discount curve and generating constant maturity bonds from that curve. This allows one to look further back than is possible ...
quanty's user avatar
  • 439
2 votes
0 answers
331 views

QuantLib - Synthetic deposit/FRA rates in yield curve

In my flat forwards dollar curve implemented in QuantLib I would like to add the following instrument: Today is 12/28/2018 Pillar quote is 1% p.a. (ACT/360) Pillar start is 1/30/2019 (specific ...
Michael Lowenstein's user avatar
2 votes
1 answer
319 views

How to Parameterize a Bond Yield Curve?

Suppose I have a Bond Yield Curve (assume Semi-Annual Compounding), at term 1M, 3M... 1Y, 2Y... 10Y, 15Y ...30Y (x-axis is maturity / term). How should I parameterize this yield curve? Any ...
Chenying Gao's user avatar
1 vote
2 answers
228 views

Bootstrap zero curve source of information

I'm trying to understand the bootstrap methodology to construct a zero curve from a par curve in detail. I'm looking for a good source of information, preferably with a detailed example, that ...
user34884's user avatar
3 votes
2 answers
761 views

Corporate Bond Yield Curve

I am an intern in a mutual fund and they have asked me to create in house yield curve for different type bonds in their portfolio I need to know on what basis are different yield curves made. For ...
Dhruv Mahajan's user avatar
4 votes
1 answer
1k views

Bootstrapping OIS Curve with data from different days data

I have the following problem bootstrapping the JPY OIS Curve. The bootstrapping itself works when havin one set of data, e.g. for the date 2017-02-09. I have all my instruments and as said ...
NewNY1990's user avatar
  • 107
1 vote
1 answer
237 views

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, etc)?
pyCthon's user avatar
  • 2,121
3 votes
1 answer
436 views

SVI Parametrization: simple example does not work

I'm trying to experiment with the SVI model. I use the following scripts: ...
user39039's user avatar
  • 451
1 vote
1 answer
1k views

QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use FittedBondDiscountCurve with NelsonSiegelFitting, but I faced with error when call fitResults() method: ...
Kirill Dolmatov's user avatar
1 vote
1 answer
2k views

Constructing yield curve directly from yield-to-maturity data

I'm trying to use Bloomberg yield-to-maturity data for sets of sovereign bonds of different maturities to fit to a yield curve. I looked into using the QuantLib library (the FittedBondCurve ...
Anne2504's user avatar
2 votes
1 answer
382 views

Introducing 1bp shocks to yield curve (and interpolation consequences)

Let us assume we have a LIBOR 3M curve and that I would like to introduce a small shock up/down of 1bp at a certain point along the curve. I am trying to find out what the best and most efficient way ...
Adam's user avatar
  • 483
0 votes
3 answers
1k views

Skewed Student t distribution MLE and Simulation

I have Financial LOB data and I feel that a skewed t distribution will fit best. I have a problem trying to find the parameters using MLE numerically since Matlabs built in function does not allow for ...
Math525's user avatar
  • 11
5 votes
1 answer
1k views

Vasicek yield curve

Term structure is determined by a two-factor affine model (Vasicek). Using the monthly swap market data, we fit the model to match exactly the one-year and ten-year points along the swap curve ...
Hakki's user avatar
  • 151
2 votes
1 answer
688 views

Cubic spline interpolation function within Matlab

I want to use the Cubic spline interpolation technique so I can interpolate yield curve points. Now I wonder if I can use the standard matlab function interpl1 (and then using the 'spline' method) or ...
Oamriotn's user avatar
  • 355
1 vote
2 answers
366 views

Yield curve interpolation at (very) short horizons

I'm struggling to find much information about yield curve interpolation for sub-yearly horizons. Say, one-two months. It seems to be the area where the curvature is usually nontrivial, while after ...
sashkello's user avatar
  • 989
9 votes
2 answers
1k views

Kolmogorov-Smirnov test for Generalized Pareto Distribution

I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
Peter Miller's user avatar
1 vote
0 answers
161 views

forecasting crash time of KLSE index (1991-1994)

Price deviation = financial bubbles. i try to fit the following stock price index to predict recession. I couldn't fit the model with the data(Data are not available in yahoo finance for the ...
user3610659's user avatar
0 votes
1 answer
7k views

Bloomberg Zero Coupon Rates

As some of your may know from my other posts, I am working on a Dynamic Nelson Siegel (DNS) based relative value trading model. On simulated data (which satisfies all the assumptions) of the DNS it ...
Bazman's user avatar
  • 879
1 vote
2 answers
217 views

OIS discounting pre and post crises

I have a Dynamic Nelson Siegel (DNS) based rv model. I want to know if I can use pre and post-crises curves interchangeably in my calibration and out of sample testing. I.e. those without OIS ...
Bazman's user avatar
  • 879
2 votes
0 answers
367 views

Johansen-Ledoit-Sornette Model

im trying to predict crash time by using lppl model(JLS). My codes can run, but the error is to high....I try with some other initial values, but still can't reduce the error.....How i can reduce ...
user3610659's user avatar
1 vote
0 answers
236 views

Fitting a sigmoid function to incomplete, structured, data

I have an incomplete data set that looks like this: and I believe that it will continue to form a sigmoid-like shape. How can fit a sigmoid curve to this data given my assumption about what the ...
user1650502's user avatar