Split SmithWilson into a base curve and a correction #64
Comments
|
That does sound interesting and potentially useful? A link I shared on the original PR decomposed the curve into components, is this getting at the same thing? Also, did you see this question on LinkedIn? |
|
As I read it, the linked article does something slightly different, pulling out an additive term Thanks for pointing out the Linked In post. I think she misinterpreted JuliaActuary as a personal project of mine. I worked as a freelance consultant a few years back, and something like this could have been a product on my shelf, so she's excused 🙂. |
|
Do you envision that this change woudl affect the API or would be an internal change? (ie should I add to v1 milestone?) |
|
There would be some change to the API (or maybe just an extension, it might be possible to do it in a non-breaking way). Adding as a milestone item would be nice, but I don't think it's important enough to hold back v1. I may have to think about it a bit more, and that might finishing up a pr, so maybe the problem will solve itself... |
I'm looking at the downstream use of
SmithWilson, more specifically the calibration ofalphawhich is also governed by Solvency II. It strikes me that aSmithWilsondiscount factor could be reinterpreted more generally as the product of a base yield curve (presently== Constant(Rate(ufr, Continuous())and a correction term independent ofufr.The Solvency II calibration of
alphais equivalent to searching for analphawhere the continuous 'forward rate' of the correction (at a given maturity) is some small value, so it would be pretty neat to have the correction separated.I'll probably go make a pr for this in the near future, but maintainers are now warned 😃, and early thoughts are welcome.
The text was updated successfully, but these errors were encountered: