Interest rate curve -> setting data quality check
1 visualizzazione (ultimi 30 giorni)
Mostra commenti meno recenti
Hi, I need to set up a data quality controls for an interest rates curves. It would be very helpful if somebody can indicate already existing functions/codes or modules for that.
If I think from a blank list, I have something like following: Input : curve is set up by number of points. Each point contains two numbers: term and value of rate.
Technical checks:
- all expected points are presented,
- all rates are are in predefined range (say, 0-10%),
- there are no significant jumps from one point to another,
- number of breaking points is limited.
Functional checks:
- curve could be approximated by some analytical formula (say, polinom with power 2 or 3) with low diviation from it;
- Forward rates form reasonable curve as well. Thank you in advance,Alexander
0 Commenti
Risposte (0)
Vedere anche
Categorie
Scopri di più su Financial Toolbox in Help Center e File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!