If you have longer and shorter forwards, as you describe, the missing rates are implied by what you know and you can solve for the no arb value. If you have a lot of data, with a sprinkling of missingness, I would use PCA as my first 'fix'. The quotes won't be a good as what you get from a curve build, but it is fast and efficient. On 02/09/2012, at 8:03 PM, "r-sig-finance-request at r-project.org"
<r-sig-finance-request at r-project.org> wrote:
Send R-SIG-Finance mailing list submissions to r-sig-finance at r-project.org To subscribe or unsubscribe via the World Wide Web, visit
https://stat.ethz.ch/mailman/listinfo/r-sig-finance or, via email, send a message with subject or body 'help' to r-sig-finance-request at r-project.org You can reach the person managing the list at r-sig-finance-owner at r-project.org When replying, please edit your Subject line so it is more specific than "Re: Contents of R-SIG-Finance digest..." Today's Topics: 1. Incomplete Forward Curve (Christofer Bogaso) ---------------------------------------------------------------------- Message: 1 Date: Sat, 1 Sep 2012 21:09:34 +0545 From: Christofer Bogaso <bogaso.christofer at gmail.com> To: r-sig-finance at r-project.org Subject: [R-SIG-Finance] Incomplete Forward Curve Message-ID: <CA+dpOJ==9t7j-pd6OYGQ86Xvit9Wo+9ND8V3soJbpkVs+2ab=g at mail.gmail.com> Content-Type: text/plain; charset=ISO-8859-1 Dear all, let say I have a Forward Curve with few missing data for a particular day. Means, let say on 01-09-2010 I have the Forward prices for a stock for each months: M1, M2, ..., M24, but M10-M13 are missing. In such case, what is best way to estimate those missing quote, given the quotes of other months? To say best, I mean in Finance-Industry which method is used mostly? Is it just 'Cubic spline'? or anything else? Can people here share their experiences on that? Thanks and regards, ------------------------------ _______________________________________________ R-SIG-Finance mailing list R-SIG-Finance at r-project.org https://stat.ethz.ch/mailman/listinfo/r-sig-finance End of R-SIG-Finance Digest, Vol 100, Issue 2 *********************************************