Interest rate curve -> setting data quality check

1 vue (au cours des 30 derniers jours)
Alexander
Alexander le 25 Juin 2014
Modifié(e) : Alexander le 25 Juin 2014
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

Réponses (0)

Catégories

En savoir plus sur Financial Toolbox dans Help Center et File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by