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Results behavior with original time to maturity #12

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marinadietze opened this issue Nov 12, 2019 · 1 comment

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marinadietze commented Nov 12, 2019

When we consider the original time to maturity matrix, the results are not always the one we expected (when we change the seed):

The spot price level can be the same or lower than the forward prices;
The sawtooth wave is not always clear. It seems that, sometimes, the spot prices follow the forward price behavior.

Collaborator Author

marinadietze commented Nov 12, 2019

Blue: curve of original forward prices;
Orange: curve of estimated forward prices;
Green: spot prices

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