Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [bootstrapping]

Bootstrapping is primarily a method for constructing a (zero-coupon) fixed-income yield curve from the prices of a set of coupon-bearing products, e.g. deposits, forwards/futures, bonds, swaps etc. The term convers also any recursive procedure of the same kind, for instance default probability curve bootstrapping, caplet volatility bootstrapping.

0
votes
1answer
30 views

Do you optimise models on boostrapped time series?

As Quants, we soon learn to optimise models, by fitting them to historical time series, e.g. the historical daily returns of some stock. But the historical series of daily returns is just one ...
0
votes
1answer
48 views

CNY IRS Fixed Vs 3 Month SHIBOR. Can any one please confirm the curve practices ?

AM trying to match CNY Swap Curve with Bloomberg. Yields unto 9 months can be converted to dfs using 1/(1+rt), where t = Actual Number of Days / 360. One year and boot strapping method was used with ...
0
votes
2answers
77 views

Compound 3-year returns to obtain 10-year returns: How to do?

I have 3-year returns at a monthly frequency, snippet below. How to compound the 3-year returns to obtain 10-year returns (since the cumulative product of 3 3-year return would be the 9-year return). ...
1
vote
0answers
33 views

Using above par zero coupon bond to build a zero coupon curve

Should I discard bonds above par (zero coupon bond with market price over par value) when I build a zero coupon curve? Most of the academic textbooks use bonds below par as inputs to build Zero ...
2
votes
0answers
56 views

Bootstrapping and Curve Calibration Objective Function

I'm confused about the form of the objective function for some global curve calibration. It seems simple enough: minimized the squared loss of the price of the input instruments and the price ...
0
votes
2answers
124 views

How to calculate correlation between commodities with forward prices?

I'm trying to understand which is the correct way to calculate the correlation between 2 commodities with forward prices. My idea would be first bootstrap forward prices to have only spot prices for ...
0
votes
1answer
388 views

Bootstrap daily OIS forward rate

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap? For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
2
votes
1answer
711 views

Dual Curve Bootstrapping - When to OIS discount?

I am a new quant and I am trying to understand some of the specifics of dual curve bootstrapping. For concreteness, suppose I want to build a Libor forward curve. From what I understand OIS ...
1
vote
1answer
101 views

Building a consistant Forward curve in the multicurve framework

I'm wondering what is the best practice for a consistent Forward Curve construction in the multicurve Framework (cf Bianchetti & Ametrano 2013): Suppose for example that we have already ...
2
votes
2answers
254 views

QuantLib-Python: How to set fixed reference dates when bootstrapping the term structure?

I am borrowing from an example in the "Quantlib Python Cookbook" section 7, to ask my question. To make the point as clear as possible I simplify the code a bit. The aim is to strip the EONIA curve ...
1
vote
0answers
32 views

Bootstrapping to Judge the Fit of a Sampled Return Distribution

Consider the following: I have sampled yearly stock returns from a specified distribution. What I want to do is compare how well my sampled distribution fits the empirical distribution of yearly ...
3
votes
1answer
302 views

Using RateHelper (bootstrapping) and Speed up in Quantlib Python

I am wondering whether it is possible somehow to speed up my script using ratehelpers/bootstrapping. I am creating for every days a new ratehelper. Is there a way building up just once the ratehelper ...
2
votes
1answer
245 views

Bootstrapping 3M Curve based on 6M Quotes and Basisswaps 6Mvs3M in Quantlib does not Price to zero

I am trying to understand the rate helper more in detail. In principal I want to build a 3M forward curve based on 6M quotes and 6Mvs3M quotes. The 6M works and prices to 0. I am not sure whether ...
0
votes
0answers
591 views

Constructing zero curve from Overnight Index Swaps (OIS) and Interest Rate Swaps (IRS)

Let's assume a task to build a zero curve from two sets of raw interest rates: set one contain 12 Overnight Index Swaps with maturities 1 month, 2 months, ... , 12 months; set two contains 7 Interest ...
5
votes
1answer
430 views

Bootstrapping OIS Curve with data from different days data

I have the following problem bootstrapping the JPY OIS Curve. The bootstrapping itself works when havin one set of data, e.g. for the date 2017-02-09. I have all my instruments and as said ...
1
vote
1answer
242 views

Bootstrapping Quantlib RateHelper Python/C++ [closed]

I am pretty new in the Quant areaa and using Quantlib. I found the pretty good introductions concerning bootstrapping in the book QuantLib Python Cookbook by Luigi Ballabio. I wanted to understand the ...
2
votes
1answer
229 views

AUD Forward Rate Agreement and Forward Curve Bootstrapping

The pricing between an Australian Forward-Rate-Agreement is different compared to the US one. The question is whether this is somehow included already in the Quantlib? Also how does it compare to the ...
2
votes
0answers
270 views

Bootstraping CLP Swap with Quantlib

After reviewing and fixing my last code (Swap Bootstrapping with quantlib), i managed to get the zero rates for the ICP swap curve (CLP). Now the thing is that there is a considerable difference ...
2
votes
2answers
133 views

Transform a 3M FRA Rate to a 6M FRA Rate

I have a question whether it is possible to transform 3M FRA rates to 6M FRA rates without having any spreads available. Let's give an example: FRA 3M: FRA 1x4 FRA 2x5 FRA 3x6 FRA 4x7 FRA 5x8 FRA ...
0
votes
1answer
215 views

PRIIPs bootstrap for Category 3 MRM - bonds - future values to maturity

PRIIPs regulation Annex 2 states in Point 20 that bootstrapping is to be used to infer the expected distribution of prices or price levels for the PRIIP’s underlying contracts from the observed ...
0
votes
1answer
333 views

OIS Discount Factor Bootstrapping - Do we assume simple interest?

When I am reading papers (ie here and here) on bootstrapping discount curves they refer to obtaining discount factors from rates for swaps maturing less than a year with: $$D(t, T_i) = \frac{1}{1+s_i(...
0
votes
1answer
497 views

Bootstrapping the spot curve based on swaps

I am struggling to understand bootstrapping the spot curve based on euroswaps. These contracts have a fixed leg paying an annual rate and a variable leg paying either euribor 3m 4 times a year or ...
1
vote
1answer
353 views

How do I interpret LCH/CME OIS/IRS pricing data?

I'm trying to use publicly-available OIS/IRS clearing data from CME (ftp://ftp.cmegroup.com/../../irs/) and LCH (http://www.lch.com/en/asset-classes/otc-interest-rate-derivatives/volumes/settlement-...
6
votes
1answer
734 views

Risk neutrality correction for Monte Carlo Bootstrapping according to PRIIP regulation for products of category III

The PRIIP (packaged products) regulation prescribes Monte Carlo bootstrapping simulation for calculation of VaR for products of category III (non-linearly leveraged products). The idea is based on ...
2
votes
3answers
524 views

Basic boostrapping question

Suppose I have three bonds: Coupon bonds are paid semi-annually. Rates are continuous compounding. I'm trying to bootstrap the zero rates for 0.5 years maturity using the 1 year zero coupon bond and ...
4
votes
1answer
309 views

Questions about Markit rates curve bootstrapping

I am reading the following two Markit documents concerning the bootstrapping of respectively the USD rates curve and the EUR, GBP, JPY, CHF, CAD, HKD, SGD, AUD and NZD rates curves. (Both versions are ...
1
vote
0answers
70 views

Inference on bootstrap confidence intervals for VaR

I have calculated the confidence intervals of the VaR for two assets using iid bootstrap. I compute VaR using historical simulation (non-parametric). So I have two bootstrap confidence intervals (in ...
0
votes
0answers
163 views

What data would I need to derive a Zero Coupon Yield Curve (Japan, Germany, Australia)?

I am looking to construct zero coupon yield curves for some research for Germany, Japan, and Australia. However, I do not know exactly what kind of data I would need, and as far as I could see, zero ...
1
vote
1answer
142 views

One week LIBOR?

Are there any commonly traded instruments that would allow one to bootstrap a one week LIBOR curve? If not, is there some alternate way to value forward starting swaps with a short first period that ...
4
votes
2answers
667 views

6 month curve from 3 month forward rate agreements

Is it possible to bootstrap at least an approximate 6 month LIBOR curve (actually NIBOR, for Norway, in my case) if rates for 3 month FRAs are known? For example, say we know the rates for 1x4, 7x10, ...
2
votes
1answer
2k views

QuantLib Python Swap Yield Curve Bootstrapping Dates and Maturities

This is somewhat related to the question I asked here but simpler. I am trying to bootstrap a yield curve from swaps, and am having a problem with the dates/maturities that are coming out. The code ...
0
votes
1answer
519 views

QL-Python Bootstrapping Yield Curve FuturesRateHelper throwing off results

I'm trying to perform a bootstrap of a yield curve from deposit rates, futures, and swaps, and the interpolation is "blowing up" for the futures maturities being off by two orders of magnitude (100x). ...
0
votes
1answer
450 views

How to Construct a Corporate Yield Curve

I received this question in a job interview. I don't really have fixed income background and was wondering if anyone can help me understand how to figure out this for myself. Create a 12 month time ...
2
votes
1answer
105 views

Determining discount factors for non-standard maturities

Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...
2
votes
2answers
252 views

forward space vs zero space in finance jargon

Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ? where does one start from when trying to dig into the meaning of this? Thanks in advance.
8
votes
0answers
431 views

Transforming 3M volatilities into 6M volatilities in EUR forecast curves

I have implemented a stripping algorithm to extract forward volatilities from cap/floor flat volatilities for different currencies. I am however struggling a bit when implementing a method to convert ...
1
vote
1answer
146 views

Parametric bootstrap in generating returns and hypothesis testing

I am trying to test a hypothesis of a statistic calculated from portfolio returns. To do so I estimate a model on the original returns series and want to obtain 100 bootstrapped series using ...
1
vote
1answer
1k views

Deriving a 3M libor curve from 6M libor swaps and 3M-6M libor basis swaps

If I had a set of 6M Libor instruments and another set of 3M-6M basis swap instruments, how would I derive the 3M Libor curve? Just bootstrap the 6M curve and the basis curve and add up the zero ...
1
vote
1answer
687 views

Quantlib bootstraping fails on 5y swap

I'm trying to build a euro swap curve with real up to date data. I should say that examples provided in github work fine. as soon as I add the 5y swap, I got the following error : ...
1
vote
0answers
40 views

number of trades - flaw in White Reality Check?

I went through Whites paper of the reality check for multiple strategy testing. To summarize at a simple example: I have 2 strategies, s1 and s2. s1 gives 2 signals and therefore 2 returns, s2 gives ...
3
votes
1answer
279 views

LIBOR with different tenor

Let $F(t;S,T)$ be the forward rate from $S$ to $T$ seen at time $t$, and $I$ be one of tenors, i.e. $I$ is one of {1M, 3M, 6M, 12M}. Then the forward curve $t\mapsto F(0;t,t+I)$ is $I$-forward curve. ...
2
votes
2answers
2k views

Bootstrap yield curve with QLNet / Quantlib

I am trying to grasp QLNet (C# version of Quantlib, all the functions of Quantlib have the same name and work the same way, so if you just know Quantlib, you can still help me), especially for pricing ...
1
vote
1answer
947 views

negative discount and zero rate on swap bootstraping

Hi I am writing a program to Bootstrap a EURO zero swap-curve for tenor 3M and 6M with given bid and ask. When I run the program , I get a negative zero rate and discount factor from 5Y till 30Y for ...
0
votes
1answer
478 views

Stripping projection curve

What is meant by the statement below: "Stripping projection curve (e.g. 3M curve) given the OIS curve" I understand that while bootstrapping an OIS curve using OIS swap rates and OIS fixed rates, we ...
4
votes
3answers
1k views

Bootstrapping Sharpe Ratios

A similar question to this was asked here: How do i test the significance of Sharpe ratio of a strategy using bootstrap I have bootstrapped the original time series (using block bootstrapping) and ...
2
votes
1answer
272 views

QuantLibXL - Optionlet bootstrapping failure

I am trying to bootstrap the Optionlet volatility surface from a Cap/Floor volatility surface using QuantLibXL. To be specific, the data is from ICAP: ...
0
votes
1answer
209 views

What is the realized volatility's estimation error?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in ...
6
votes
2answers
5k views

How do I calculate Sharpe ratio from P&L?

Say I have a market-making strategy that trades intraday. I start with a flat position and finish flat too. I end up with a daily P&L $p_{today}$. Over a year of trading I get $\vec{p} = (p_1,\...
7
votes
2answers
3k views

Comparing MVO with Resampled Efficient Frontier

My question: How can I compare the Resampled Frontier (REF) to the standard MVO frontier when I have been provided with $\mu$, $\Omega$, and don't have access to true future data to test real out of ...
5
votes
1answer
3k views

Bootstrapping spot rates from treasury yield curve

I'm attempting to construct a spot rate and forward rate curve from the 2011 daily treasury yield curve rates provided by the US Treasury. All US Treasury securities (1m, 3m, 6m, 1y, 2y, 3y, 5y, 7y, ...