Smoothing forward rate curve

[Muting]

I test my code and compare my number with a sample number provided by last semester's 9845 homework, excercise 8.10. I get the same number as the answers.

0.04000000000000
0.00686506162590
0.00000000000000
-0.00004464359628
0.00000023159482
0.04033070894876
0.00642411636089
0.00022047263250
-0.00009363751461
0.00000431442134

Greg:

Could you provide some sample number for test purpose, especially for 10 points on the curve? I want to test my code when there are more than 3 points on the forward rate curve.

Besides, there is some discrepancy between the formula for ln(p(t+1)/p(t)) in the excel file you provide in the class and the file containing the answer for excercise 8.10. I use the formula provided in excercise 8.10. Could you make a clarification?

Muting

 

[SteveTownsend]

What course is this for? Also the thread on Greeks. I am worried I am supposed to be doing this work but know nothing about it ;-)

 

[Muting]

What course is this for? Also the thread on Greeks. I am worried I am supposed to be doing this work but know nothing about it ;-)

Steve:

This is actually a bonus project from OOP. The first one who get through this problem will be rewarded a 500-buck Amazon coupon. Greg has already given us some clues in the OOP and you can find related excel files in 9845's thread. I believe Greg will post detailed requirement for this project. Anyway, it is an interesting challenge.

Muting