# Questions tagged [extrapolation]

The tag has no usage guidance.

10 questions
22 views

### 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 ...
15 views

### Deriving sources of return (over.) extrapolation from surveys

I would like analyze what causes investors to extrapolate returns and there are several theories out there that aim to explain such behavior, such as for example the representativeness heuristic by ...
60 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 ...
191 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 ...
351 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 ...
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 ...
767 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): ...
519 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 ...