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Questions tagged [extrapolation]

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3answers
54 views

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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1answer
148 views

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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0answers
50 views

What are some acceptable methods to extrapolate stock return data to include a crash?

I am looking to get a rough idea on how to model potential outcomes of a stock that does not have a financial crash in its dataset. Any stock or other security that has an inception date after 2008 ...
6
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1answer
317 views

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 ...
2
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1answer
129 views

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 ...
2
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3answers
721 views

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): ...
10
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2answers
481 views

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 ...
0
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1answer
865 views

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 ...
13
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1answer
2k views

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 ...