0
$\begingroup$

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?

Thanks

Improve this question
$\endgroup$

1 Answer 1

Reset to default
1
$\begingroup$

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.

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.