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2

First of all, I would re-order your approches this way Monte-Carlo of daily returns Bootstrap of daily returns Block Bootstrap of 20 days Second I would like to comment on what you want to do with the data? It seems to me that you target to implement a "sliding (20 days) robust Markowitz portfolio". It leads to the question what kind of ...


1

So, the error lied as commented on the collision on the 2y-point between FRA and swap. By adding this line to the FRA-section: elif 'M' in tenor: fra_start = int(tenor[0:tenor.find('M')]) - 6 helpers.append( ql.FraRateHelper(ql.QuoteHandle(ql.SimpleQuote(rate/100)),fra_start, euribor6M) ) to take into account the period of the FRA (correct me if I'm ...


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Let's assume that the relevant pillar $t$ of your curve is currently (exclusively) calibrated using the reference instrument $f_0$ at market quote $q_0$. The instrument could be a swap, a forward rate agreement, tenor basis swap... In what follows, I simplify somewhat in using scalar expressions; in practice you may see gradients / vector valued functions ...


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