2
votes
What's the difference between short rate and the bootstrapped interest rate?
I would like to make an analogy with equities. To price simple contacts like equity forwards or futures, you don't need a model, you use simple no arbitrage arguments. To price options and other more ...
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2
votes
Interpolation of Zero rate curve
Suppose that you interpolate your zero curve, i.e. your discount factors at time $k$, $v_k$, using a log-quadratic approach:
$$\ln(v_i) = \alpha + \beta D_i + \gamma D_i^2 $$
where $v_i$ is a discount ...
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1
vote
Commodities forward curve
To answer your first question, an alternative approach is the Gabillion two-factor model (which was originally proposed for oil futures). At a high-level, Gabillon models the spot price as a single-...
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