Interest rate curve -> setting data quality check

1 次查看（过去 30 天）
Alexander
Alexander 2014-6-25
编辑： Alexander 2014-6-25
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

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Financial Toolbox 的更多信息

标签

Community Treasure Hunt

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

Start Hunting!

Translated by