Menu
▾
▴
Re: [Quantlib-dev] Yield Curve Boostraping Improvements
|
From: newbie73 <lui...@av...> - 2007-10-09 11:31:40
|
Is the Hagan-West paper titled, "Interpolation Methods for Curve Construction" ? If so, then I just printed a copy of it last week. As far as the method I referred to in my earlier post, it is not published publicly. It was written as internal research at Lehman Brothers in the late 80s, so I have an older printed photocopy laying around that I used as a reference. - Luis Bianchetti Marco-2 wrote: > > Yes, I confirm the Hagan-West paper as a key reference. > Luis, is the method you mention published somewhere ? > Ciao > Marco > > > -----Original Message----- > From: qua...@li... > [mailto:qua...@li...] On Behalf Of Simon > Ibbotson > Sent: 02 October 2007 15:03 > To: newbie73 > Cc: qua...@li... > Subject: Re: [Quantlib-dev] Yield Curve Boostraping Improvements > > > You might want to examine the paper by Hagan&West on smooth > yieldcurve construction. Their convex monotone spline method gives great > results. > > Simon > > > > On 10/2/07, newbie73 <lui...@av...> wrote: > > > The choppy forward curves appear regardless of which > interpolation method is > used. The term structure of 3m or 6m forward rates > results in a saw-tooth > term structure which deviates from market by huge > amounts. > > Regarding the knot points, I was referring to picking > maturities that do not > necessarily correspond with the chosen instruments. The > methodology we use > here treats the area between each knot point as its own > curve (or curve > function), so you end up with many separate curves which > segment the yield > curve which are then combined to ensure smooth forward > curve generation. > > The technique itself is quite old and was developed by > Lehman in the late > 80s, but works well in most cases I've encountered. > > - Luis > > > Luigi Ballabio wrote: > > > > On Mon, 2007-10-01 at 07:20 -0700, newbie73 wrote: > > > >> So far I've been quite happy with the functionality > in the QuantLib > >> library - I'd like to start using it to compare to > market pricing. > >> I've found that the curve stripping methodology > produces extremely > >> jagged forward curves which result in poor pricing of > several market > >> structures. > > > > Does this depend on the chosen interpolation? > > > >> Also, some algorithmic help in dynamically selecting > knot points would be > >> much appreciated as well. The basic idea is the > creation of a smooth > >> interpolation method for a selected set of knot > points for a given curve. > > > > "Selecting knot points" as in "choosing which > instruments to use among > > the available ones" (which is what Nando referred to) > or as in "choosing > > a set of knots freely, i.e., not necessarily > corresponding to instrument > > maturities"? > > > > Later, > > Luigi > > > > > > -- > > > > This gubblick contains many nonsklarkish English > flutzpahs, but the > > overall pluggandisp can be glorked from context. > > -- David Moser > > > > > > > > > ------------------------------------------------------------------------ > - > > This SF.net email is sponsored by: Microsoft > > Defy all challenges. Microsoft(R) Visual Studio 2005. > > > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > > _______________________________________________ > > QuantLib-dev mailing list > > Qua...@li... > > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > > > -- > View this message in context: > http://www.nabble.com/Yield-Curve-Boostraping-Improvements-tf4548647.htm > l#a12997264 > Sent from the quantlib-dev mailing list archive at > Nabble.com. > > > > ------------------------------------------------------------------------ > - > This SF.net email is sponsored by: Microsoft > Defy all challenges. Microsoft(R) Visual Studio 2005. > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Splunk Inc. > Still grepping through log files to find problems? Stop. > Now Search log events and configuration files using AJAX and a browser. > Download your FREE copy of Splunk now >> http://get.splunk.com/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > -- View this message in context: http://www.nabble.com/Yield-Curve-Boostraping-Improvements-tf4548647.html#a13113782 Sent from the quantlib-dev mailing list archive at Nabble.com. |
