Re: Smooth Forward Curve from Market Rates

Posted by MikeD on Sep 16, 2010; 6:32pm
URL: http://quantlib.414.s1.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp640p643.html

QuantLibAddin::Token::Interpolator

String	Type
BackwardFlat	QuantLibAddin::Token::BackwardFlat
CubicNaturalSpline	QuantLibAddin::Token::CubicNaturalSpline
ForwardFlat	QuantLibAddin::Token::ForwardFlat
FritschButlandCubic	QuantLibAddin::Token::FritschButlandCubic
FritschButlandLogCubic	QuantLibAddin::Token::FritschButlandLogCubic
KrugerCubic	QuantLibAddin::Token::KrugerCubic
KrugerLogCubic	QuantLibAddin::Token::KrugerLogCubic
Linear	QuantLibAddin::Token::Linear
LogCubicNaturalSpline	QuantLibAddin::Token::LogCubicNaturalSpline
LogLinear	QuantLibAddin::Token::LogLinear
MonotonicCubicNaturalSpline	QuantLibAddin::Token::MonotonicCubicNaturalSpline
MonotonicLogCubicNaturalSpline	QuantLibAddin::Token::MonotonicLogCubicNaturalSpline

QuantLibAddin::Token::Traits

String	Type
Discount	QuantLibAddin::Token::Discount
ForwardRate	QuantLibAddin::Token::ForwardRate
ZeroYield	QuantLibAddin::Token::ZeroYield

On Thu, Sep 16, 2010 at 12:51 PM, luis cota <[hidden email]> wrote:

Thanks for the tip on using the MonotonicLogCubicNaturalSpline - this provides a smooth curve as I was expecting.  Regarding the forward rates, QL is showing about 3.56 and Bloomberg is about 3.55, so perhaps there is another error showing up with the comparison curve stripper.  Where can I find a listing of the different types of interpolation schemes available on what data they can be used?

 

Thanks for the help!

On Thu, Sep 16, 2010 at 1:25 PM, Mike DelMedico <[hidden email]> wrote:

Switch your interpolation to "MonotonicLogCubicNaturalSpline" on Discount Factors, that will smooth out your curve.

The actual 3m forward rates out in the super-long end of the curve are not under 3%.  3m forward Libor rates around the 37 year point are roughly 3.55%, so wherever you are referencing, your data is incorrect.

-Mike

On Wed, Sep 15, 2010 at 8:45 AM, newbie730 <[hidden email]> wrote:

http://old.nabble.com/file/p29718645/USD%2B9-15-2010.png
http://old.nabble.com/file/p29718645/smooth-usd.png
I have attached a screenshot of the 3 month forwards implied by current
market quotes using the Piecewise Bootstrapped Term Structure - the
resulting curve, as you can see, is not smooth at all. Is it possible to get
the market implied forwards with a smooth interpolation?

Note the smooth-usd.png file - is something like this possible using
QuantLib and actual market rates?

Further - notice the tail end of the two curves, the QL term structure is
implying forwards of > 3.5% past the 40 year point where the actual market
forwards are just under 3%. This is clearly inaccurate if one were to trade
a long-dated forward swap.
--
View this message in context: http://old.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp29718645p29718645.html
Sent from the quantlib-users mailing list archive at Nabble.com.


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