add bond calibration test

finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

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add bond calibration test #83

Closed noittom closed 3 years ago

noittom commented 3 years ago

adding a test with bond calibration of a Nelson-Siegel-Svensson curve to a given set of bond. currently I think I have some problems with using finmath lib as interpolated yield values are quite different from actual yields.

I would appreciate it if you could have a look.

The main idea is that Solver should be used with some current bond prices to calibrate NSS curve

Alexey Monakhov

noittom commented 3 years ago

any updates ?

cfries commented 3 years ago

Sorry for the delay! Will have a look at it now!

cfries commented 3 years ago

There were two small issues:

Your list of target prices was normed at the notion 100.0 (so having prices 99.0). However, the Bond evaluation did use a notion of 1.0.
The product implementation Bond required a separate survival probability and basis curve. These two curves should have been dummy curves being identical to 1.0 - because you just like to have a single Bond curve as a discount curve (the three curves allow for a splitting into a risk free discount curve, a basis curve (e.g. industry) and an issuer specific part. I modified the product such that it can be used without this splitting.

Everything is our fault, because the documentation should have been better ;-)

cfries commented 3 years ago

I am merging this and will make some updates in the master branch. Maybe you can have a look there!

cfries commented 3 years ago

Your unit test is now on the master branch. I have added an assertion, checking for the price differences. Since the NSS curve has only a few parameters, there are some deviations, but overall it looks OK. Please have a look at your unit test in the master branch. Thanks for the PR and feedback.

I have removed the "Example Curve" you had added, because it looked worse to me.

Please get back to me if you have questions. I try to be quicker this time.