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parameters.csv
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parameters.csv
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PARAMETERS;
tenor;expiry;alpha;beta;rho;nu
2y;3m;0.005869;0.000000;-0.617576;1.430250;
2y;6m;0.005797;0.000000;-0.441660;1.171850;
2y;9m;0.005580;0.000000;-0.182584;0.899599;
2y;1y;0.006004;0.027118;0.179593;0.808535;
2y;2y;0.006057;0.000000;0.009768;0.997566;
2y;5y;0.031362;0.380887;0.079566;0.371217;
2y;10y;0.022713;0.328955;-0.055713;0.265421;
5y;3m;0.006417;0.000000;0.347181;0.505420;
5y;6m;0.010782;0.110854;0.322696;0.455014;
5y;9m;0.014339;0.174437;0.246052;0.423635;
5y;1y;0.017120;0.211171;0.280856;0.382552;
5y;2y;0.041026;0.422692;-0.050892;0.375533;
5y;5y;0.027469;0.345330;-0.005954;0.313709;
5y;10y;0.020500;0.311250;-0.103107;0.311230;
10y;3m;0.019485;0.238678;-0.139061;0.616454;
10y;6m;0.049107;0.477351;-0.255881;0.648114;
10y;9m;0.047273;0.468191;-0.267248;0.593500;
10y;1y;0.038281;0.409097;-0.254194;0.492095;
10y;2y;0.023674;0.281438;-0.120087;0.370017;
10y;5y;0.023392;0.310695;-0.075433;0.349609;
10y;10y;0.023431;0.343333;-0.104906;0.300193;
15y;3m;0.034520;0.391367;-0.470671;0.694001;
15y;6m;0.043302;0.447111;-0.414393;0.614520;
15y;9m;0.026532;0.315033;-0.277036;0.491799;
15y;1y;0.033496;0.377633;-0.277912;0.458760;
15y;2y;0.022917;0.279378;-0.142376;0.406090;
15y;5y;0.038837;0.468496;-0.174938;0.401184;
15y;10y;0.023125;0.354191;-0.077770;0.258090;
30y;3m;0.041951;0.430881;-0.467713;0.708523;
30y;6m;0.049221;0.470906;-0.413750;0.633981;
30y;9m;0.044523;0.446258;-0.374718;0.565504;
30y;1y;0.026007;0.298102;-0.302950;0.456649;
30y;2y;0.045041;0.454831;-0.302397;0.448259;
30y;5y;0.044325;0.492293;-0.225052;0.411755;
30y;10y;0.033241;0.455184;-0.161415;0.277675;
3y9m;2y2m;0.225100;0.864454;0.195961;0.513368;