# Tag Info

Accepted

• 11.8k
Accepted

### How to Parameterize a Bond Yield Curve?

Nelson-Siegel and models in its succession (e.g. Diebold-Li) attempt to fit the yield curve as you describe. The reason for the development and research of these models answers your first additional ...
• 981
Accepted

### In search of nice (approx) function forms of the volatility of cumulative simple returns

Note: It is computationally simple to determine the volatility of any given return series, so in fact there may be no need for this approximation. Let's start with the annualized return $r_a$, which ...
• 2,916

### How stable are the coefficients in the Exponential Spline model?

I think different researchers might have different thresholds for what they perceive to be "stable." FWIW, the picture below provides our beta estimates going back to 1992 for the US ...
• 11.8k

### Least Squares fit function - Python

I found the answer - could be useful for someone else :) ...
• 31
Accepted

### Fitting Function for Skew

@Lisa Ann: Typing an answer to my own post, mostly to share my "findings" for the benefit of anyone coming across this. Looking at the paper of Brigo, Mercurio and Rapisarda, they fit using a single ...
• 1,671
Accepted

### Building a Nelson-Siegel curve

Is it correct to use the YTM? Maybe. These days, for accounting reasons, a lot of bonds out there are callable, and the call is in the money, and the YTW is very different from the YTM. You should ...
• 12.4k
1 vote

### Can Call and Put Vega be different (for the same strike)

Assuming the options are European (they should be since the underlying is an index) and assuming the prices you have are synchronous so that the whole exercise makes sense in the first place, then ...
• 1,396
1 vote

### Can Call and Put Vega be different (for the same strike)

By put-call parity, put and call must have the same vega : \begin{align} & c - p = PV\left(F_T - K\right) \\ \Rightarrow & \partial_\sigma c - \partial_\sigma p = \partial_\sigma PV\left(F_T - ...
• 2,680
1 vote
Accepted

### When Fitting Implied Vol in, implied vol=ax²+bx+c, why is better to use moneyness than delta as independent variable?

What I have seen in papers such as Christoffersen, Heston and Jacobs (2009) where they look into a two-factor model of volatility is a quadratic polynomial in BOTH moneyness and maturity. I would ...
• 2,486
1 vote

### Basis Swap Dual Curve Calibration

Actually it is not just the long end of the swap curve it is any part of the curve that needs some form of basis swaps to be calibrated. A set of curves in any currency usually encompasses the ...
• 10.7k
1 vote
Accepted

### Why do constant maturity bonds account for modified duration?

if you use existing on the run bond yield for analysis. There are at least three ptoblems. The duration is change slightly every day on the run roll cause a yield jump actual yield influenced a lot ...
• 131
1 vote

### Why do constant maturity bonds account for modified duration?

I'm just guessing, but they might be talking about the continuity of time series. The chart below shows the modified durations of 10-year par bonds and rolling 10-year on-the-run Treasuries. As you ...
• 11.8k

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