Forward Curve Fitting
Hi Team, Maybe someone can help me with the below. What would be the best way to fit the BTC/USD forward curve? It is quite agile (including its shape). Please see attached example: Deribit's market data, including futures and options (from put-call parity), 24 cutoffs, one per hour, the most recent (blue line) goes with bid/ask-s. Mobility of the curve in this sample is not so bad TBH (can be much worse). The Nelson-Siegel and Svensson models didn't work for me (maybe I didn't use them properly?). I'm ready to give up and fit it with splines but maybe somebody knows a better way? [image: BTC-USD fwd curve 20210406 001.jpeg]
Kind regards, Oleg -------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20210406/f8ec7832/attachment.html> -------------- next part -------------- A non-text attachment was scrubbed... Name: BTC-USD fwd curve 20210406 001.jpeg Type: image/jpeg Size: 62373 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20210406/f8ec7832/attachment.jpeg>