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[学科前沿] 利率曲线校验 [推广有奖]

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whllyg 发表于 2012-6-27 10:05:51 |AI写论文

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stoneyl 发表于7楼查看完整内容

as I understand, swaption, cap/floors are used for calibrate vol smile of your stochastic IR model while linear products like futures/deposits/Fra/swaps are used for curve construction by Bootstraping. A simple example, you can use deposit/futures/swaps to construct a yield curve first and use swaption/cap/floors to fit your stochastic term structure consistent IR model such as Hull&Whilte to ...

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沙发

sprinkle1206 发表于 2012-6-27 10:13:43

帮顶。

藤椅

Menta 发表于 2012-6-27 10:18:24

额楼主表达歧义

板凳

whllyg 发表于 2012-6-27 10:27:37

Menta 发表于 2012-6-27 10:18
额楼主表达歧义

还请明示哈。
主要是想知道大家在做yield curve calibration 的时候，主要是用swap和swaption还是用interest rate futures

报纸

flybest 发表于 2012-7-3 15:54:37

用swaption, 在volatility curve上做calibration

地板

bn9492 发表于 2012-7-5 13:11:41

楼上正解

7楼

stoneyl 发表于 2012-7-5 14:47:08

as I understand, swaption, cap/floors are used for calibrate vol smile of your stochastic IR model while linear products like futures/deposits/Fra/swaps are used for curve construction by Bootstraping.

A simple example, you can use deposit/futures/swaps to construct a yield curve first and use swaption/cap/floors to fit your stochastic term structure consistent IR model such as Hull&Whilte to model short rate dynamics.

Hope it helps

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8楼

whllyg 发表于 2012-7-5 17:38:21

stoneyl 发表于 2012-7-5 14:47
as I understand, swaption, cap/floors are used for calibrate vol smile of your stochastic IR model w ...

Thanks much. You just hit the point!
Regarding to yield curve construction, which is more commonly used, futures or swaps? Any idea of the reason? Is it mostly due to liquidity?

9楼

floydgyf

发表于 2012-7-5 18:58:53

stoneyl 发表于 2012-7-5 14:47
as I understand, swaption, cap/floors are used for calibrate vol smile of your stochastic IR model w ...

sorry, i still cannot understand what is calibration. counld you give some more friendly illustration?

10楼

stoneyl 发表于 2012-7-5 19:25:03

whllyg 发表于 2012-7-5 17:38
Thanks much. You just hit the point!
Regarding to yield curve construction, which is more common ...

well...curve construction is far from trivial

regarding instrument selection, simpliy speaking, liquid futures are normally used to fit mid term of the curve while swaps for long term part (beyond 2 years for instance). There are normally no conflicts between those two type of instruments since futures beyon 2 years are not that liquid. Instead it's the short term of the curve that might have overlap between deposit and futures which you have to make a choice. which one to choose normally depends on factors such as
1. which instrument you normally used for hedging
2. the quality of the resulting curve (for instance which one will generate more smooth forward curve?)
3. liquidity (not an issue here since they are both very liquid)

it really depends on your preference......each bank does in its own way......