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Re: [Quantlib-dev] Yield Curve Boostraping Improvements
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From: <fho...@gm...> - 2007-10-09 12:33:14
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Hi! In a case like this a look at scholar.google.com is strongly recommended. There one finds under Appl. Math. Fin., Vol. 13, No. 2, 89-129 the correct reference to the already published paper. Rgds Frank -------- Original-Nachricht -------- > Datum: Tue, 9 Oct 2007 04:31:37 -0700 (PDT) > Von: newbie73 <lui...@av...> > An: qua...@li... > Betreff: Re: [Quantlib-dev] Yield Curve Boostraping Improvements > > 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. > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Splunk Inc. > Still grepping through log files to find problems? 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