Questions tagged [forward-curve]
The forward-curve tag has no usage guidance.
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Forward variance in rough heston model
When calibrating or trying to approximate the rough heston model by a neural network, why is it done according to the hurst parameter, the correlation, the volatility of volatility and the forward ...
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Forecasting forward curve using Gaussian Process Regression
I have daily closing prices of crude oil monthly contracts up to 36 months. Some contracts are not very liquid so there are missing prices at random. I stitched together contracts to make them rolling ...
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How can a future exhibit both normal backwardation and be in contango?
My understanding is that "contango", when describing the forward curve, describes forward prices that are above the current spot price, i.e. $F_{t+1} > F_{t} > S$. This is directly ...
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Building a forward curve for multiple tenors - Quantlib python
I am attempting to build a forward curve for multiple tenors (1M / 3M / 6M / 12M) using the quantlib library. The input to my model are sofr swaps(1W through 50Y). It appears I am building my curve ...
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Forward interest rate curve family parametrization
There are many academic sources, books and articles, introducing forward interest rate curve. For example, those authors define $f(\tau)=f(\tau;\beta_0,\beta_1,\beta_2,\lambda)$ as a function of time ...
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How to calculate forward swap curves for different tenors using QuantLib in python
I am interested in calculating the forward curve for different swap tenors. I have the below code in Python, but I believe that this only calculates the forward discount curve. Are we able to modify ...
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166
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Forward pricing of cashflows with QuantLib - Python
I am building a tool with Quantlib (Python) to work on the forward pricing of different types of assets (inflation linked, amortizing, vanilla, zero coupon bonds).
For a number of reasons I am using ...
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495
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How to build an FX curve?
Apologies for the rather broad question! Essentially, I wanted to ask how to build an FX forward curve from scratch. I have some basic understanding of interest rates and discounting but I am lacking ...
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Single Curve Problem - due to Basis [duplicate]
I recently came across the single curve problem that states that we need differenct curves for discounting cashflows and projecting forward floating rates.
On google I am not able to find a proper ...
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211
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Commodities forward curve
I'm dealing with the calibration of the forward curve for energy products.
I found an approach proposed by Benth et al., in which the forward curve is parameterized as $f(t) = s(t) + \epsilon(t)$
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How to get a one day forward rate from OIS curve?
Let's say we have 1 month OIS Rate and a 2 month OIS rate.
How can I construct a 1m1d rate?
Bloomberg computes a lot of these one day rates for several months ahead.
Thank you
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What's the difference between short rate and the bootstrapped interest rate?
This thing confused me for a long time, since we can a have a curve (e.g. LIBOR 3M) bootstrapped from the market quotes of instruments (e.g. FRA, SWAP), and we can get the spot rates and also the ...
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SOLVED Manually Recomputing Forward Rates from QuantLib Python
I have used QuantLib Python to compute 1-month forward rates from zero rates as at 05 December 2019.
My codes can be found below:
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forward LIBOR curve bootstrapping
how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info:
par rates of a set of OIS
fixed 6M LIBOR rate
par rates of a set of Swaps which the underlying ...
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647
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Interpolation of Zero rate curve
I have the zero rates at certain time nodes, say 3-month, 5-month, 8-month,...,2-yr,... Now I want to interpolate the curve so that the implied one-month forward rates are piecewise linear. That is, ...
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curve construction for Non deliverable forward
how to construct a forward curve for Non Deliverable Forwards if I Have swap points and outright forward
Is it good to construct a curve using forward swap point or directly outright forwards
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CME Metals Settlement methodology
I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Metals+Futures+Settlement+Algorithm+Examples
For ...
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