Forums > Software > How to draw the yield curves in time and paths?

 Page 1 of 1
Display using:
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-01-19 16:54 Let us imagine I have a number of paths (say 100 )with 10 steps each.On each step of each path I have a yield curvegenerated.I mean, finally I have 4 dimensions.time, path number, and the yield curve which is two dimensional.How to present that visually?if I had only a point on each step of each path I could draw a beautifully coloured surface. Like this But how to do that with curves?More over all them are going from zero to 1.I am sure that question was already tackled, but my Google skills are not up to the task.Any ideas? The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 tabris Total Posts: 1257 Joined: Feb 2005
 Posted: 2017-01-19 17:14 hmm whats wrong with interpolation of the 10 steps? Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-01-19 17:20 I am not sure what you want to say.Should I show the average of yield curves on each path?Well the yield curves are different on each step so I will belosing quite lot of information. The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 Maggette Total Posts: 1097 Joined: Jun 2007
 Posted: 2017-01-19 17:42 Well, I know sub optimal, but is an animation an option for you? Like a moving surface (over one dimension)? Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-01-19 18:10 > Like a moving surface (over one dimension)?I was considering it, but maybe something nicer? The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 svisstack Total Posts: 318 Joined: Feb 2014
 Posted: 2017-01-19 19:25 slider for adjusting step_number/time under the graph www.coinapi.io && www.cryptotick.com
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-01-19 20:14 Sliders?Hmmm....But you won't see the totality.For the prices you would see the risk zones,and ask what causes them. The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 Tradenator Total Posts: 1596 Joined: Sep 2006
 Posted: 2017-01-19 21:23 Maybe try this or this for inspiration?
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-01-20 09:33 Nice movie!As for inspiration... The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 Tradenator Total Posts: 1596 Joined: Sep 2006
 Posted: 2017-01-20 10:42 I think you are looking for a means to show a tesseract to the novice. Projecting into 3D is one way to think of it (eg a movie). I don't know a good answer for how to do this elegantly, sorry. If you want to see how not to do it, there is a Carl Sagan thing on you tube somewhere.
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-01-20 10:46 what has a teseract to do with yield curves? I thought that my original question was straightforward enough. The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 Tradenator Total Posts: 1596 Joined: Sep 2006
 Posted: 2017-01-20 10:54 Tesseract = 4 dimensions, just like you have. I thought it might be a simple geometric analogue to your yield curve visualization problem. Sorry if this isn't helpful, but good luck with it.
 deeds Total Posts: 424 Joined: Dec 2008
 Posted: 2017-01-21 11:43 Seems a question of which information to lose (all models, blah blah blah, all visualizations, ditto)...your question may come up because there hasn't been enough brute force survey of 'raw data' (curves)...or there is fear that data set in hand is not comprehensive and you want to do raw data survey with your visualization in an online way.Seems the question about how to show will be easier to answer when you know what features are essential, invariant to your purpose, what information is not relevant.Designing a tool to make the 'raw data' survey easier is different than designing a visualization which presents the data in most significant cases...I wouldn't discount the effectiveness of a set of indexed sheets, one per curve which can be arranged and rearranged in meat space.then consideration of projection (geom/stat), embedding, crypt recoding, measure, summary, interactivity?
 Rashomon Total Posts: 193 Joined: Mar 2011
 tbretagn Total Posts: 268 Joined: Oct 2004
 Posted: 2017-02-06 13:24 Pj maybe you can try this: Hypertools Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne
 pj Total Posts: 3440 Joined: Jun 2004
 Posted: 2017-02-06 14:07 Thank you, tbretagn!That looks quite amazing.Feedback will follow.pj The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
 deeds Total Posts: 424 Joined: Dec 2008
 Posted: 2017-03-10 16:12 sweet.
 EGH Total Posts: 59 Joined: Nov 2014
 Posted: 2017-06-25 00:08 Interesting stuff. But not exactly Rocket Science! And I should know!
 deeds Total Posts: 424 Joined: Dec 2008
 Posted: 2017-06-26 18:48 beats thinkin'.Nelson Siegel Svennson?
 Tradenator Total Posts: 1596 Joined: Sep 2006
 Posted: 2017-06-27 09:52 EGH, when did you last design a rocket?
 EGH Total Posts: 59 Joined: Nov 2014
 Posted: 2017-06-27 21:15 "EGH, when did you last design a rocket?"Last night actually! Why design the rocket, when you can simply mix the rocket fuel: rocket
 Page 1 of 1