Questions tagged [curve-fitting]
The curve-fitting tag has no usage guidance.
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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 ...
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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 ...
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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, ...
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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 ...
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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 ...
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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
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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, ...
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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}(\...
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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://...
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876
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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 ...
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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 ...
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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 ...
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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?
...
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197
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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.
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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?
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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 ...
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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 ...
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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 ...
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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)
.
...
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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 ...
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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 ...
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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 ...
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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=...
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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 ...
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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 ...
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272
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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 ...
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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 ...
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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 ...
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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 ...
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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..)?
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SVI Parametrization: simple example does not work
I'm trying to experiment with the SVI model. I use the following scripts:
...
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QuantLib FittedBondDiscountCurve fitResults [Error]
I try to use FittedBondDiscountCurve with NelsonSiegelFitting, but I faced with error when call fitResults() method:
...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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Parameters for numerically fitting t-distribution to log-returns
I am fitting the t-distribution to log-returns numerically (not using R, MATLAB, Stata, etc.), but rather using general programming. Assuming the log-return values are $r_t$, and the $t$-variates are ...
user6430
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Algorithm to fit AR(1)/GARCH(1,1) model of log-returns
I am fitting numerically an AR(1)/GARCH(1,1) process to index and stock log-returns, $r_t=\log(P_t/P_{t-1})$, where $P_t$ is the price at time $t$, and thus far am not clear on where the observed log ...
user6430
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How to choose a window for curve fitting and prediction?
I am using Pareto distribution to fit a serie of survival rates (with least square).
My ultimate goal is to use this fitting curve for prediction. Thus I would mainly focus on the tail of the ...
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Zero Curve Calculation for AUD, CAD (post LIBOR scandal)
In the end of May 2013 British Bankers Association (BBA) stopped publishing LIBOR rates for Australian and Canadian dollars in a light of recent scandals.
LIBOR rates were essential for creating zero ...
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Bond curve extrapolation
What are the best methods to extrapolate bond yields from an existing curve that doesn't extend quite this far?
For example, how would one come about finding a theoretical bond yield for a 40 or 50 ...
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