Questions tagged [forward-curve]
The forward-curve tag has no usage guidance.
24
questions
1
vote
1
answer
72
views
Combining term structure types in Quantlib
Is it possible to combine multiple term structure types for curve construction in quantlib?
Specifically I want to be able to construct an OIS curve that is stepped in the short end with pillars at ...
0
votes
0
answers
52
views
Explicit pythonic building of Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
This question is related to the following questions asked previously, primarily the first:
Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs
...
0
votes
0
answers
33
views
Pricing FRA rates from changes in rates due to ECB meetings and vice versa
This is somewhat building on top of my last question:
Explicit step by step curve construction using FRAs
I'm trying build (in python) and understand something that will allow me to reprice 6M EURIBOR ...
0
votes
0
answers
80
views
one factor model for forward curve - Clewlow and Strickland
In their book, Energy Derivatives Pricing and Risk Mgmt, the authors introduce a one factor SDE for the forward curve as follows:
$\frac{dF}{F} = \sigma e^{-c(T-t)} dW$
F(t) is the forward curve at ...
1
vote
1
answer
217
views
Explicit step by step curve construction using FRAs
I'm trying to understand a step by step process of building curve from the instruments to the final result, particularly how overlapped FRAs are used.
i'm trying to build this in excel so I have a ...
0
votes
0
answers
54
views
Relationship Between the Equity Funding Curve and Equity Forward Curve
am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
1
vote
0
answers
42
views
forward price and forward rate of a corporate bond
For risk free zero coupon bonds we can derive forward rates from observed the prices of zero coupon bonds. For example if the 1y zero rate is 1% and the 2y zero rate is 2% we can derive that the 1yr ...
0
votes
0
answers
106
views
Constructing the FedFunds Yield Curve with jumps at FOMC meetings
When constructing the FedFunds yield curve I want to define the curve based on two separate interpolation schemes. The first on the short end being LogLinear on the discount factors between FOMC ...
0
votes
1
answer
82
views
Forward variance in rough heston model
When calibrating or trying to approximate the rough heston model by a neural network, why is it done according to the hurst parameter, the correlation, the volatility of volatility and the forward ...
0
votes
0
answers
90
views
Forecasting forward curve using Gaussian Process Regression
I have daily closing prices of crude oil monthly contracts up to 36 months. Some contracts are not very liquid so there are missing prices at random. I stitched together contracts to make them rolling ...
1
vote
2
answers
154
views
How can a future exhibit both normal backwardation and be in contango?
My understanding is that "contango", when describing the forward curve, describes forward prices that are above the current spot price, i.e. $F_{t+1} > F_{t} > S$. This is directly ...
0
votes
0
answers
701
views
Building a forward curve for multiple tenors - Quantlib python
I am attempting to build a forward curve for multiple tenors (1M / 3M / 6M / 12M) using the quantlib library. The input to my model are sofr swaps(1W through 50Y). It appears I am building my curve ...
2
votes
2
answers
156
views
Forward interest rate curve family parametrization
There are many academic sources, books and articles, introducing forward interest rate curve. For example, those authors define $f(\tau)=f(\tau;\beta_0,\beta_1,\beta_2,\lambda)$ as a function of time ...
1
vote
1
answer
324
views
Forward pricing of cashflows with QuantLib - Python
I am building a tool with Quantlib (Python) to work on the forward pricing of different types of assets (inflation linked, amortizing, vanilla, zero coupon bonds).
For a number of reasons I am using ...
1
vote
1
answer
1k
views
How to build an FX curve?
Apologies for the rather broad question! Essentially, I wanted to ask how to build an FX forward curve from scratch. I have some basic understanding of interest rates and discounting but I am lacking ...