6 votes

FX smile extrapolation

This is a big industry, but here are some alternatives(as usual, the best choice depends on purpose and desired accuracy): Fit a quadratic in delta space: $\sigma_{\Delta}=a + b \left( \Delta - \...
Magic is in the chain's user avatar
4 votes

Taleb's Black-Swan: interpretation of the exponent

I finally got the idea behind the example. To illustrate it in a more general setting I will present a rigorous proof: Let $x_k$ denote the salary and $b_k$ the number of persons that earn $x_k$ or ...
Philipp's user avatar
  • 183
2 votes

Taleb's Black-Swan: interpretation of the exponent

I don't know how to interpret the above example, but wealth distribution, of which inequality is one of the measures, is frequently described by the Pareto distribution. Also, the IRS publishes annual ...
Sergei Rodionov's user avatar
2 votes

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 ...
Luigi Ballabio's user avatar
1 vote

How to create a local price index?

Isn't this an ML practice problem? https://towardsdatascience.com/machine-learning-project-predicting-boston-house-prices-with-regression-b4e47493633d
VVKK77's user avatar
  • 149
1 vote

Raw interpolation when the desired term is out of the know originals

What you are interested in is called extrapolation. In other words, you want to "extend" your function $r$ for $t < t_0$ and $t > t_n$. What the author ...
JejeBelfort's user avatar
  • 1,219
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
Venkata A N Bharadwaj Vedula's user avatar

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