# Tag Info

Accepted

### Quantlib-Python: use zero rates to get the originally bootstrapped curve

To retrieve the original curve, you need to use the same key tenors of the original curve and with the same interpolation. For instance, when you create the original curve as: ...
• 7,753

### Why use moneyness as an axis on a volatility surface

First off, there are different types of moneyness one can use when constructing a volatility surface. Each have their own advantages. Absolute-moneyness: using absolute spot-strike comparison as a ...
• 143

• 1,396

### QuantLib: How to bootstrap Yield Curve using 3M futures - Python

The theory and a worked-out example are in Ametrano and Bianchetti, Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask. Recently I reproduced ...
• 7,753
Accepted

### Zero Curve Interpolation Does Not recover Node point input rates

For historical reasons, the curve implementation goes through discount factors to calculate zero rates, no matter what the underlying representation is; see https://github.com/lballabio/QuantLib/blob/...
• 7,753

### Getting option volatility off vol surface

See the paper "FX Volatility Smile Construction, Dimitri Reiswich and Uwe Wystup" http://janroman.dhis.org/finance/FX/FX%20Volatility%20Smile.pdf for a comprehensive construction of the FX volatility ...
• 5,682

### Simple approach to interpolate option surface

As has been said in the comments, unless you are working with an asset class that has a second dimension, i.e, swaptions where you have not only the option expiry but also the underlying tenor, a ...
• 5,835

### Interpolating a yield from two yields (giving more weight to one of the two)

If these are risky (e.g., corporate) bullet bonds, then I would not interpolate the yield directly, because their yield has two distinct components: a risk-free rate and an additional spread (to ...
• 12.6k

• 11k

### When using quantlib's swaphelper to build a curve, is the fixing lag considered?

The helper doesn't support a custom fixing lag, but for standard quoted swaps (the ones you would use to create a curve) the fixing lag you're seeing is designed to cancel out with the index own ...
• 7,753
1 vote

### Quantlib Piecewise CubicZero Bond Curve Bootstrap

You can find the documentation for the general Cubic Interpolation C++ implementation here: https://www.quantlib.org/reference/class_quant_lib_1_1_cubic_interpolation.html The default values are ...
• 845
1 vote

### How do I calculate Hull White's Theta from the discount curve?

In practical situations you will never know $P^M(0,t\pm\epsilon)$ for a continuum of $t$ and $\epsilon\,.$ In other words, $\theta$ will practically always depend on an interpolation method between ...
• 2,043
1 vote
Accepted

### Volatility surface interpolation for Black-Scholes delta hedging

A cubic polynomial curvature would be the most simple one.Otherwise,many practitioners are actually using a Gaussian process interpolation,which is more sophisticated.
• 446
1 vote

### Interpolating a yield from two yields (giving more weight to one of the two)

If you has a lot of points with wide matuirities you can use the specific Nelsonâ€“Siegelâ€“Svensson (NSS) model. It closely follow academic researches for short-, mid- and long-term structures. Real ...
1 vote

### Interpolating a yield from two yields (giving more weight to one of the two)

Linear interpolation. See, for e.g., https://en.wikipedia.org/wiki/Linear_interpolation. Easily implemented in Excel.
• 2,272
1 vote

### Getting a daily forward OIS rate curve with QuantLib in Python

The problem is that in the first step, you are only fetching the forwards for the curve nodes. You could make a daily schedule and get forwards directly from the curve for each date. ...
• 5,835

Only top scored, non community-wiki answers of a minimum length are eligible