http://quantlib.414.s1.nabble.com/Yield-Curve-Boostraping-Improvements-tp9826p9829.html
There one finds under Appl. Math. Fin., Vol. 13, No. 2, 89-129 the correct reference to the already published paper.
>
> 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:
[hidden email]
> > [mailto:
[hidden email]] On Behalf Of Simon
> > Ibbotson
> > Sent: 02 October 2007 15:03
> > To: newbie73
> > Cc:
[hidden email]
> > 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 <
[hidden email]> 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
> > >
> > >
> > >
> > >
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