# Questions tagged [curve-fitting]

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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 ...
149 views

### 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 ...
504 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 ?
108 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 ...
88 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-...
1 vote
127 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 ...
265 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 ...
1 vote
243 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)?
495 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://...
77 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 ...
1 vote
319 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, ...
93 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 ...
83 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 ...
137 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
457 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, ...
458 views

1 vote
197 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 ...
340 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 ...
2k 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 ...
329 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 ...
800 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 ...
1 vote
220 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 ...
10k views

### 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 ...
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 ...
396 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 ...
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 ...
443 views

### SVI Parametrization: simple example does not work

I'm trying to experiment with the SVI model. I use the following scripts: ...
1 vote
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 ...
1 vote
1k views

### QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use FittedBondDiscountCurve with NelsonSiegelFitting, but I faced with error when call fitResults() method: ...
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 ...
692 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 ...
531 views

### 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 ...
1 vote
379 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 ...