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• 1,209
1 vote

What's a reasonable way to extrapolate a bond curve?

You can use similar bonds with same risk profile and other similar features to extend the curve of your specific bond. something like a benchmark
1 vote

Quantlib | Issue with extrapolation in BlackVarianceSurface

You can't, at least from Python. Currently, flat extrapolation in time it's hard-coded. To modify that, you'll have to change the underlying C++ code. (On the other hand, you can select whether ...
• 5,543
1 vote

Interpolating probabilities of default

The typical approach is to try to fit a ratings migration matrix to available rating transition data. If default rates are all you have then that's going to be difficult. Instead, I might try to fit ...
• 14.4k
1 vote

Interpolating probabilities of default

I worked for a company where we had a similar problem with a volatility surface. I tried applying LOESS to it, but it didn't work. The final result has to conform to some obvious monotonicity ...
• 471

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