# Tag Info

5

The short answer is that Libor swap rates come from the market. They represent a series of cashflows in the future whose value is determined by the fixing, which the market participants have their own valuations of. Since the actual cash flows are now discounted using a separate funding curve, the swap prices embed both a prediction of future fixings and a ...

5

I like to present to you a slightly different approach: Historically, only one single yield curve was derived from different instruments, such as OIS, deposit rates, or swap rates. However, market practice nowadays is to derive multiple swap curves, optimally one for each rate tenor. This idea goes against the idea of one fully-consistent zero coupon curve, ...

4

The answer to your first four questions is affirmative. Option-adjusting the spread makes an equivalence between everything theoretically possible, but the quality of results depends significantly on the quality of your interest rate model and its calibration. My personal opinion, though, is that the results need to be treated carefully because the OAS ...

3

Standard 3m curve interpretation: H, M, U, Z = Mar, Jun, Sep, Dec IMM dates in the futures convention (see SRKX's answer), and 2Y would be just the calendar 2y point. Assuming that what you found was done in 11th July 2011: U1 21 Sep 11 - 21 Dec 11 (IMM = 3rd Wednesday to following IMM) Z1 21 Dec 11 - etc H2 21 Mar 12 M2 20 Jun 12 U2 19 Sep 12 Z2 ...

3

I think they are using the same convention as the future exchanges for delivery months. You can find a complete mapping on the wiki page. The letter corresponds to a month and the number corresponds to the last digit of the year. So for example to understand U1 you find U=>September and 1=>2011 (you have to "guess" the relevant decade, it's quite ...

3

You can create the data using the procedure described in the reference manual on pages 31 and 32. The necessary code is copied below: # The following code may be used to generate an empty data set, # which can then be filled with bond data: ISIN <- vector() MATURITYDATE <- vector() STARTDATE <- vector() COUPONRATE <- vector() PRICE <- ...

2

The way you are trying to solve these equations makes assumptions about the rates less than 10 years and therefore the shape of the yield curve. \$90 is the value of 8% coupons plus a 10-year zero-coupon bond. \$80 is the value of the 4% coupons plus a 10-year zero-coupon bond. 8% coupons are worth twice 4% coupons over the same period, regardless of the ...

2

$dF(t,T)$ describes the dynamics of the rate of a particular forward contract as time $t$ moves forward to a fixed expiration $T$. $d\bar F(t,\tau)$ describes the dynamics of the rate at a particular point on the yield curve as time moves forward. The differential $\frac{\partial F}{\partial T}dt$ is simply the difference between holding the expiration ...

2

You are going to need to interpolate in some way shape or form.... Linear is the easiest and most basic, however it may not capture the curvature, you can use splines to better capture the curve. A nice guide to doing so is here: It's a guide to bootstrapping and it has all the components. http://www.business.mcmaster.ca/finance/deavesr/yieldcur.pdf

2

To elaborate on Freddy's answer: These days you need to maintain a separate funding (usually OIS) curve to your Libor* type curves. Once you have this discounting curve, you can calculate from Libor instrument market data what the market estimations of that Libor are: 3m instruments like Interest Rate Futures, IRS with a 3m float leg, 3m FRAs can be used to ...

1

(In addition to the answers of Freddy and Phil H): With "modern" multi-curve setups: You have to distinguish between discount curves (which describe todays value of the a future fixed payoff (e.g. a zero coupon bond)) and forward curve, which describe the expectation (in a specific sense) of future interest rate fixings. Swaps pay LIBOR rates and are ...

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Not sure this includes all data but certainly interest rate swaps. I heard somewhere FED Saint Luis (or was it another office) actually offers an API into their public data center, but I cannot confirm that: http://research.stlouisfed.org/fred2/categories/32299

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