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.

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51 views

Replicating Bloomberg's zero rates bootstrapping

I'm interested in manually replicating the bootstrapping procedure that Bloomberg uses to built ICVS179 (RUB vs MosPrime 3M) curve up to a two years tenor as of October 12th 2021. These are the market ...
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43 views

Help with aligning discount factors and forwards for Interest Rate Swap valuation using Quantlib

I am trying to price an IRS using Quantlib. As a natural benchmark for pricing, I use Bloombergs SWPM function. Before digging into the actual pricing, I want to see if my bootstrapping of the curves ...
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129 views

Monte Carlo vs. Block Bootstrapping vs. Bootstrapping

Because I can fit e.g. ~25 distributions via empirical cumulative distribution fitting to correlated data (including stable dist.), and then simulate the original data based on correlation (covariance)...
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65 views

Bootstrapping discount and forward curve (using ESRA) and price a vanilla swap

I am just starting to use Quantlib, and want to try and replicate the SWPM-functionality in Bloomberg, and price a vanilla 5Y EUR OIS. Below is the overall swap data used in BBG: Overall settings ...
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How to resampling the risk of a specific tenor on a interest rate curve without replace the instrument?

For example, suppose we have an interest rate curve bootstrapped from multiple instruments, at the short end, we used eurodollar future (up to 2Y), at the longer end, we used interest rate swap (3Y to ...
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34 views

Quantlib bootstrapping error, convergence not reached

trying to build the spot yield curve for AUD by using the following data from bloomberg, RBACOR Index The Reserve Bank of Australia interbank overnight cash rate 0.03 ADBB1M 1m bank bill 0.005 ...
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30 views

Excel for bootstrapping semi-annual bond

I have cash flows with me, and need to calculate the discount factors or zero coupon rates. I know about NPV and XNPV, but I don't have dates, and I'm not sure whether these work for S/A payments. ...
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65 views

Bootstrapping semi annual bond

I have a bond that pays out semi-annually. The coupon is 0.14, which means it pays 0.7 after 6 months, and then 100.7 after another 6 months. I need to find the discount factors by bootstrapping. Is ...
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55 views

Construction of vol term structure for Libor

When we want to construct Interest rate term structure we look at various market instruments like futures, swaps etc. and using ...
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74 views

Bootstrapping EURIBOR curve

I’m trying to bootstrap a 1m, 3m and 6m euribor curve. The data I’m using is 3m Euribor swaps, 1m/3m basis spreads and 3m/6m basis spreads. I’ve successfully used quantlib to bootstrap a 3m curve but ...
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116 views

Simple Blockbootstrap instead of CircularBlockBootstrap

I am currently trying to Block-Bootstrap my Stock-return data in Python. I am doing that to generate synthetic data. I came across the CircularBlockBootstrap but found in a few discussions here that ...
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231 views

RFR boostrapping using RFR OIS: Is convexity adjustment technically necessary?

For single-curve RFR bootstrapping, such as a SOFR-based discounting curve bootstrapped strictly using SOFR fixed-float OIS, I am trying to understand if convexity adjustments are technically ...
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137 views

How to Validate and Test a Discount curve (i.e. SOFR, LIBOR, ESTR)

Let's say an Interest Rate/Discount Curve (SOFR, ESTR, LIBOR or any other) is bootstrapped using the standard inputs and market quotes for Cash, Futures, Bonds/Swaps. What are the metrics to be looked ...
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107 views

Python QuantLib FuturesRateHelper issue

I'm trying to do bootstrapping using some future rates however encountered some errors below. A reproducible case is as follows: this is constructing a future rate helper with 'IRM1 Comdty' from ...
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90 views

How to bootstrap zero coupon rates and what is the relationship with par yields

I understand the basic logic of bootstrapping zero coupon rates (take a bond, discount each cashflow at the prevailing/previously solved zero rate, and solve for the last rate at the last cashflow). I ...
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66 views

OIS Floating Leg Value at Swap Start with OIS discounting with payment lag

Is it safe/OK/acceptable to assume that $PV_{float}=1$ at on a Swap that projects and discount with the same OIS index, at starting date, if payments are done with a 2D lag i.e. $t_{pay} = t_{...
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Discount Factor Swap curve

could you please help with DF from 3Y to 10Y, it's approximately the same but I think there is diff in leap year, how I should correct my excel formula to get the Bloomberg values? I am using formula ...
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145 views

Calculate zero recovery discount curve from bond yields and cds prices?

Clarifying the below: Given the prices of bonds that are not trading in distress as yet (so yields are meaningful), and data on the CDS spreads, I’ve been looking for some approaches for estimating a ...
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344 views

ICVS 133 Bloomberg Curve

This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants. I'm ...
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189 views

Newbie question on volatility surface building

I am trying to build a prototype equity volatility surface for pricing european call options, as a way of learning a new programming language that I am looking at. Is there anything wrong with the ...
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1answer
365 views

Getting a daily forward OIS rate curve with QuantLib in Python

I am trying to build a 1-day EONIA forward curve with QuantLib giving OIS yields from 1mo to 50yr as input. My current approach consists on (i) obtaining the yield curve with ...
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301 views

Bootstrapping Swap Curve

I am trying to get the zero rates from the swap curve for chilean pesos (vs Camara). I tried this code (from a previuos question similar to mine from other person) and I am very close to get the ...
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Models that can improve FHS (with possible residuals manipulation)

The Filtered Historical Simulation (FHS) is a tough benchmark. By: choosing among the most complicated ARMA-GARCH variants with automatic model and lag selection, manipulating standardized residuals ...
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437 views

Yield Curve Bootstrapping with FRAs (Excel without QuantLib)

I am trying to bootstrap a 6m Euribor curve using the same instruments as the default Bloomberg curve: 6m Euribor rate, 12 FRAs starting at 1x7 finishing at 12X18, Swap rates 2yrs each year out to ...
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359 views

Bootstrapping OIS curve

I am trying to get a zero curve from a series of EONIA-based OIS rates with Quantlib. When comparing my output with Bloomberg, I find some differences (see at the end of the question), and and I don't ...
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48 views

How to bootstrap discount factor DF of the settlement period DF(today, today+settlement period)?

Consider an overnight rate $r_{ON}$ and a one-week rate $r_{1W}$.A settlement period of 2 days is associated to the rate $r_{1W}$. In order to compute the overnight discount factor, since the first ...
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I am looking to bootstrap a USD and GBP yield curve: what are some of the futures and swaps I can use that are findable on Bloomberg?

Getting overnight-to-12 month LIBOR on Bloomberg is easy. Had difficulty finding GBP futures (range of maturities) on Bloomberg. Any tips (both USD and GBP)? Swaps (maturities all the way to 30 years) ...
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87 views

Block Bootstrapping for synthetic data

I am trying Block Bootstrapping for synthetic data generation. For example in http://www.blackarbs.com/blog/synthetic-data-generation-part-1-block-bootstrapping the author @blackarbsceo use data from ...
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487 views

Bootstrap with QuantLib: Fair Swap or zero NPV

In all brevity What is the termination condition used in QuantLib's curve bootstrapping? Can I modify this setup to my needs, e.g. can I tune this to a higher accuracy? Background When bootstrapping ...
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242 views

How to do simultaneous dual curve bootstrapping?

I wish to understand how dual curve bootstrapping is done? Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates ...
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2k views

What is Dual Curve Bootstrapping? And how to do it, with an example?

I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve. 1) I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear ...
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Is C(P)CV similar to boostrap?

I am writing to ask if the Combinatorial (Purged) Cross-Validation" method of Marcos Lopez de Prado's "Advances in Financial Machine Learning" book is similar to the idea of bootstrap. If not, what is ...
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In the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? [duplicate]

I am a newbie to fixed income quant side and I am trying to understand in the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? ...
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923 views

Pricing IRS: bootstrapping zero rate (spot rate) from the swap curve

I would like to ask about swap zero curve calculation algorithm used by Bloomberg. Below is a plain vanilla EUR IRS. I want to calculate >= 2 year spot rates from the market rates. I don't know how to ...
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198 views

Why would a 15Y swap index=EUR3M and discount=OIS, show only a EUR3M-delta at 15Y

When computing the index-delta for a swap in a multi-curve framework, only the last cash tenor seem to show sensitivity. Could anyone explain with formulas why it is the case ? For example a 15Y swap ...
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119 views

MATLAB - Probability Default with CDS Bootstrapping

I have not understood which "zerorati" I must use for the bootstrap of the PD from the curve of the CDS spreads. Can you help me please? I consulted O'Kane (2008) and Brigo and Mercurio (2006), but I'...
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1k views

SOFR term structure

Recently I have been going through a lot of documents for SOFR (Secured Overnight Financing Rate) as there is a SOFR implementation in my organization. I am not able to understand how SOFR term ...
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513 views

LIBOR Curve bootstrapping and compounding

I am currently reading about swap pricing based on using the LIBOR curve to calculate spot rates, forward rates, and discount rates. From what I understand LIBOR is quoted as a simple interest rate ...
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57 views

Priips : how can we proove that bootstrapping method converges to cornish fisher for category 2 priips products?

Bootstraping method used for category 3 products is in fact used also for category 2 products. but how can we mathematically proove that the first one is suitable for category 2 priips and that it ...
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326 views

Bloomberg SWPM Zero Rate Curve Conventions

Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M Hi, I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...
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293 views

Quantlib python FRA rate helper

Can i get an example of how to use quantlib python FRAratehelper? I would like to use it to get discount factors, with 3month Jibar as a reference rate.
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2k views

Projection and Discounting Curves

I am trying to better understand multi-curve bootstrapping, but I am clearly misunderstanding what is meant by: a) projection curve b) discount curve I've tried googling the definitions but it's ...
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138 views

Calibrate an HJM model in a multicurve setup

I am a mathematician and I'm working on my thesis on Financial Mathematics. I studied this model HJM in a multicurve setup: $$ \begin{cases} df(t,T)=a(t,T)dt+\sigma(t,T)dW_t & (\mbox{rik-free})\...
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1k views

Bootstrap ESTER and SOFR curves with Quantlib Python

Is it possible to bootstrap the new ESTER and SOFR term structures in Quantlib? More in general, does the process work as the usual one? Given these are simple indices that are published on a daily ...
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152 views

Quantlib Python OISRateHelper using Quantlib Cookbook - hands on Quant Finance

I am completely new to Python, just trying to reference Quantlib Cookbook to construct eonia curve, here is my code. I didn't change much compared to the cookbook Eonia Curve BootStrapping chapter, ...
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151 views

Basic question on Plain Vanilla Interest Rate Swap pricing

I'm new to quant and would like to understand on pricing AUD Plain Vanilla Interest Rate Swap. In post/article/book often explain for long end, we use SWAP RATE that are observed in market. But I'm ...
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1answer
21 views

How would I develop confidence bounds for a function of 3 random variables, 2 of which are correlated?

I am tasked with developing confidence intervals for the function x = 1 - |(a+b)/c| where a, b and c are random variables. a and b are normally distributed, but c is heavily skewed left. further ...
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1k views

Mark-to-market cross-currency basis swap valuation

I'm looking to replicate the EUR vs USD cross-currency basis curve that Bloomberg outputs (EUR.OIS collateralized in USD). I understand that Bloomberg is currently using the mark-to-market ...
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1answer
179 views

Bootstrapping spot rates based on swap rates using QuantLib

I am bootstrapping the shibor curve and fr007 curve using swap rates in China. I created my own index like following: ...
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2answers
714 views

From Libor Curve rates to "forward" zero-coupons

I am provided a 6M euribor curve, constructed from FRA's and swaps of tenor 6M on the euro, as well an EONIA curve, constructed from zero-coupons EONIA swaps. Both curves are provided as functions $d\...