Good day, I have inputs: Libor 1D, 1M, 2m, 3m. FRA 3x6, 3x9, 3x12 IRS 2Y, 30Y.

What formula should I use to construct zero rate curve?



1 Answer 1


You'll need to bootstrap a zero curve from your market data. This process is iterative in the sense that the implied zero rates for your short-term LIBOR rates are calculated before using those rates to bootstrap your zero rates implied by your FRAs. You will need to bootstrap for each time-point defined by your instruments.

A good reference for you would be (no multi-curve) Methods for Constructing a Yield Curve.

There is no easy formula, you will need a root-solver for the construction. I recommend the QuantLib library.


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