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Quantitative Finance · Glossário

O que é Curve calibration?

Definition 1.2 Rates, Credit, XVA and Risk · Capítulo 1 — Curve Construction

Curve calibration is the solution for the pillar parameters of a curve such that a chosen set of instruments, each priced on the curve, reproduces its market quote. With one pillar per instrument it is a square system of equations; the general notion of calibration, fitting a model’s parameters to prices, is treated in One Quant Book 4, chapter 24.

The instruments of the chapter’s dollar curve over its first two years, and their pillars (dots on the axis, one at each instrument’s maturity). The futures start on the third Wednesday of December 2026 and tile five quarters; the one-year swap would price a period the futures already price, and is left out.
Figure 1.1. The instruments of the chapter’s dollar curve over its first two years, and their pillars (dots on the axis, one at each instrument’s maturity). The futures start on the third Wednesday of December 2026 and tile five quarters; the one-year swap would price a period the futures already price, and is left out.
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