Quantlib python dual curve bootstrapping example

Question

Apologies if this has been asked in the forum (I couldn't find any examples)- Can someone please point me to a worked example in python using Quantlib for dual curve bootstrapping (using EONIA for discounting and EUR 3M Libor as forecasting).

Also using the bootstrapped curve, I would then call the fair swaprate / forwardRate() / zeroRate() etc.

If someone can point me to some examples, that would be great. I have looked at : QuantLib Python Swap Yield Curve Bootstrapping Dates and Maturities

However, not too sure how to use this OIS bootstrapped curve into my forecasting curve bootstrapping

Thanks, Sumit

Answer 1

I reproduce the Ametrano-Bianchetti paper on dual-curve bootstrapping in Python with QuantLib in a chapter of the QuantLib Python Cookbook. (Note: I'm not sure what the etiquette is about plugging one's own for-sale book. Moderators, please let me know if that's out of line.) That includes both OIS and LIBOR bootstrapping with different tenors, and it's way too long to describe here.

However, the gist of it is that the swap-rate helpers used to bootstrap the LIBOR curve can take a discount curve to use. In the old single-curve examples, a SwapRateHelper instance would be created as

helper = SwapRateHelper(quoted_rate, tenor, calendar,
                        fixedLegFrequency, fixedLegAdjustment,
                        fixedLegDayCounter, Euribor6M())

and use the curve being bootstrapped for both forecast and discounting. To use dual-curve bootstrapping, instead, you'll have to build it as

helper = SwapRateHelper(quoted_rate, tenor, calendar,
                        fixedLegFrequency, fixedLegAdjustment,
                        fixedLegDayCounter, Euribor6M(),
                        QuoteHandle(), Period(0,Days),
                        discountCurve)

In the above, the additional QuoteHandle() and Period(0,Days) arguments are, unfortunately, needed because the SWIG wrappers don't support keyword arguments for this constructor; and the discountCurve argument would be a handle to the OIS curve that you bootstrapped previously. When the swap-rate helpers are instantiated as above, they will use the LIBOR curve being bootstrapped for forecast and the OIS curve for discounting.