[R-SIG-Finance] R-SIG-Finance Digest, Vol 100, Issue 2

[Matthew Johnson]

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:

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>   1. Incomplete Forward Curve (Christofer Bogaso)
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> ----------------------------------------------------------------------
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> 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
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>    <CA+dpOJ==9t7j-pd6OYGQ86Xvit9Wo+9ND8V3soJbpkVs+2ab=g at mail.gmail.com>
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>
> 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,
>
>
>
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> End of R-SIG-Finance Digest, Vol 100, Issue 2
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