[R-SIG-Finance] Forward Curve Fitting
Oleg Mubarakshin
o|eg@mub@r@k@h|n @end|ng |rom gm@||@com
Tue Apr 6 22:38:52 CEST 2021
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
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