Pith Number

pith:4SQFWWHC

pith:2026:4SQFWWHCAP5PLQZZ2IGHB26RBJ

not attested not anchored not stored refs pending

What Can Go Wrong During Caplet Stripping ?

Fabien Le Floc'h

Interpolation choices and node placement are the main causes of oscillations and negative values when stripping caplets from market quotes.

arxiv:2605.05140 v3 · 2026-05-06 · q-fin.CP

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\usepackage{pith}
\pithnumber{4SQFWWHCAP5PLQZZ2IGHB26RBJ}

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Record completeness

1 Bitcoin timestamp

2 Internet Archive

3 Author claim open · sign in to claim

4 Citations open

5 Replications open

✓ Portable graph bundle live · download bundle · merged state

The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

Interpolation scheme and node placement are shown to be the primary drivers of instability, which can be amplified by isolated bad quotes; proposed continuous flat-linear and C1 flat-smooth kernels, midpoint node placement with global solver, and positivity enforcement via exponential reparametrization or Hyman non-negative C1 splines deliver substantially reduced oscillations and robust positive caplet curves.

C2weakest assumption

That the market cap quotes are sufficiently clean and that the proposed kernels and solvers preserve exact bootstrap equivalence without introducing material bias in the resulting caplet curve for typical market conditions.

C3one line summary

Interpolation scheme and node placement drive instability in caplet stripping; continuous flat-linear kernels, midpoint nodes, and exponential reparametrization or Hyman splines deliver stable positive curves with negligible repricing error.

Cited by

1 paper in Pith

A Practical Guide to Strip Caplet Volatilities

Receipt and verification

First computed	2026-05-29T02:05:46.045661Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

e4a05b58e203faf5c339d20c70ebd10a705ad7f18e86e2095dc8a93c8cece8bd

Aliases

arxiv: 2605.05140 · arxiv_version: 2605.05140v3 · doi: 10.48550/arxiv.2605.05140 · pith_short_12: 4SQFWWHCAP5P · pith_short_16: 4SQFWWHCAP5PLQZZ · pith_short_8: 4SQFWWHC

Agent API

Resolver JSON Graph JSON Events JSON Schema Signing key

Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/4SQFWWHCAP5PLQZZ2IGHB26RBJ \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: e4a05b58e203faf5c339d20c70ebd10a705ad7f18e86e2095dc8a93c8cece8bd

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "41abfb294697386ffb4d5c527894fae5d427e6cdd270ec0943216501824a4c1b",
    "cross_cats_sorted": [],
    "license": "http://creativecommons.org/licenses/by-nc-sa/4.0/",
    "primary_cat": "q-fin.CP",
    "submitted_at": "2026-05-06T17:12:56Z",
    "title_canon_sha256": "9b31984dd614076694cb8727308dd5cc145abd9616c4d4b34a6e91c77db45b0f"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.05140",
    "kind": "arxiv",
    "version": 3
  }
}