<t>I'm trying to implement the stochastic basis Libor market models from Paper. I have tested my cap calibration code on some artificial data.Now, I need some real data to test both cap and swaption part.I have tried searching some research papers for data, but none of them contain both term structu...

What models are used for short rate simulation after financial crisis(like shifting to stochastic basis and dual bootstraping in case of libor model)?

<t>Thanks, for the suggestions.I was trying to create term structure of futures from 1999 to 2001 to feed into kalman filter. These old individual contracts on quandl do not contain data going back long in time, which prompted me to request here.I trying to replicate the results of a research paper....

<t>I am trying to implement a crude oil(CL) futures pricing model. I am really stuck acquiring data for parameter estimation. The problem with openly available data is that either it doesn't contain long term futures or whatever available is not in the same period as other contracts. It will be real...

<t>I am learning ropes of commodity derivative pricing. So far managed to implement schwartz's one and two factor models for copper and gold.Now trying to estimate parameter for schwartz 3 factor model(spot,convenience yield and interest rate) for pricing oil futures.can someone point out a good wor...

Thanks, for clarifying the doubt. Now i get it what's the difference between gc1 and gc2.

I trying to learn how futures market work. I know what continuous contract are and how they are generated, but when i see quotes they are listed as GC1 and GC2. what is the difference between GC1 and GC2(gold) or HG1 to HG2(in case of copper). Is it related to maturity ?