What would be the best way to fit the BTC/USD forward curve?
It is quite agile (including its shape).
Please see attached example: Deribit's market data, including futures and options (from put-call parity), 24 cutoffs, one per hour, the most recent (blue line) goes with bid/ask-s. Mobility of the curve in this sample is not so bad TBH (can be much worse).
The Nelson-Siegel and Svensson models didn't work for me (maybe I didn't use them properly?).
I'm ready to give up and fit it with splines but maybe somebody knows a better way?