Questions tagged [extrapolation]
The extrapolation tag has no usage guidance.
20 questions
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Seeking a Model to Extrapolate Locate Fees for Short Selling in Absence of Historical Data
I'm in the process of developing an automated stock trading algorithm, with short selling being a significant part of the strategy. A key factor in deciding whether to short a stock is the associated &...
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bid volatiliy interpolation
I had a bid volatility data that had a concave shape. my question is how can I extrapolate for the the extreme strikes, and does the bid volatility goes to zero when strike->0 and strike-> ...
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Nelson-Siegel on a bootstrapped swap curve with cubic spline
I bootstrapped a swap curve and then, having the zero rates, I used Nelson-Siegel to estimate a terminal rate at $t+1$. However, because I am using a cubic spline, the new long term rate changes the ...
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Best way to extrapolate on implied volatility
I am doing some standard svd calibration to mark market implied vols in difference to a previous volatility surface.
For longer term maturities where there is no market data, I am extrapolating ATM ...
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how to interpolate and extrapolate the local volatility surface?
Local volatility can be computed in terms of call prices using Dupire's formula. Assume we have a rectangle call price surface, let's say $I = [30,60]\times[1 day, 1year]$.
For interpolation, should ...
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How to create a local price index?
I have a set of real estate data; historic sales price, square meters, location (latitude, longitude), neighbourhood, city, sold date and bunch of other features. I have used a boosting model to ...
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Taleb's Black-Swan: interpretation of the exponent
I am reading Taleb's "Black Swan" (revised 2020th edition). In chapter 16 "The Aesthetics of Randomness" he describes the meaning of the exponent in the context of extrapolation. ...
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Swaption extrapolation
I have some ATM swaption volatilities with the following characteristics:
(-IBOR) payment frequency: 1M
Underlying swap maturities (tail): 1Y, 2Y, 5Y, 10Y, 15Y and 20Y
Swaption expiries: 1M, 3M, 6M, ...
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Extrapolate Implied Volatility Surface
I have a moneynessratio-tenor volatility surface and want to extrapolate the implied volatility for moneynessratios > 150%.
The volatility surface was downloaded for different points in time, so I ...
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FX Smile Curve Extrapolation [duplicate]
How a smooth smile curve is generated from 5 smile points : 10D RR, 25D RR, 10D SM, 25D SM and ATM? What are the commonly used extrapolation and interpolation techniques?
I have seen people ...
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FX smile extrapolation
Typically, 5 points data is available for smile construction : 25D RR, 25D SM, 10D RR, 10D SM and ATM. Questions: 1. How is a smooth smile curve generated with the help of these? 2. How is ...
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Raw interpolation when the desired term is out of the know originals
I was reading this paper regarding the yield curve construction and was programming the Raw Interpolation algorithm (page 7 equation 6) however I was wondering how to use the formula when the desired ...
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What's a reasonable way to extrapolate a bond curve?
I have a corporate bond curve which stops at 15 year maturity. I want to extrapolate the curve to 25 year maturity.
I'm looking for a reasonable approach, not necessarily deeply technical.
Thanks ...
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Quantlib | Issue with extrapolation in BlackVarianceSurface
I have created BlackVarianceSurface and enabled extrapolation but unable to change extrapolation type used. It is giving flat extrapolation. Used setInterpolation to change method type but ...
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Extrapolating SVI
In his paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$
$$ w(k) = a + b\{\rho (k-m) + \sqrt{(k-m)^2 + \sigma^2} \}.$$
Assuming that ...
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Quick way to extrapolate call price as function of strike
Let's say I know the price of a call for two different values of strike. Is there a quick way to guess the price for another value of strike ?
Actually, I know that C(100)=15 and C(90)=20 and I have ...
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Interpolating probabilities of default
I have a table of cumulative probabilities of default of industrial bonds, in time and credit rating. It is similar to S&P whitepaper here. Basically, it looks like this (sample numbers):
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Extrapolating implied volatilities to small time
Could anyone please direct me to literature or methods for extrapolating the implied volatility surface towards small expiry? I'm looking to price very short time to expiry binary options (e.g. 5 ...
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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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