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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40 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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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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293 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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141 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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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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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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77 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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162 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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55 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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315 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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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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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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19 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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Role of the evaluation date ( ql.Settings.instance().evaluationDate )

I have questions about the evaluation date. (set up with ql.Settings.instance().evaluationDate). I'm trying to build the zero-coupon curve from deposit rates and swap rates, however I don't ...
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133 views

Bootstrapping with QuantLib using deposit rates and Swap rates

I'm trying to bootstrap and to get a zero coupon yield curve with maturities ranging from 2019 to 2059 Here is my code: ` ...
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1answer
540 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
97 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
335 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\...
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2answers
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Estimating a Yield Curve in a country without Bond Stripping

I am currently working under estimating a Yield Curve. From my understanding common procedures to construct a yield Curve like Nelson Siegel have the input of a series of different zero rates and ...
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1answer
153 views

Convexity in interest rate curve bootstrapping

Whether the bootstrapping is a multicurve one or not, one can use futures quotes. One link these quotes to corresponding (synthetic) forwards (that can be expressed as known functions of zero-coupons) ...
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2answers
131 views

Bootstrapping - why PAR instruments

I understand the mechanism of use bootstrapping to create a yield curve. However, why do we choose a PAR (bond/swap) in creating the curve? Is it for simplicity? Is it possible to use non-PAR ...
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1answer
138 views

Sharpe testing in R

My goal test: The statistical significance of the difference in Sharpe ratio between funds A and B. My data: I have daily prices from January 23 2008 until 10th of April 2019 (n = 2818 observations). ...
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RUGARCH (output) and Residual Resampling using GARCH(1,1)

I try to replicate the methodology proposed by Freedman and Peters (1984a, 1984b) which was applied in the famous paper by Brock, Lakonishok and LeBaron (1992) to generate many artificial log return ...
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Quantlib-Python: use zero rates to get the originally bootstrapped curve

Let's say I am trying to build a curve using deposits, future and swaps with one of the three Quantlib methods in Python as below: ...
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1answer
158 views

Creating yield curve from exchange-listed products only?

For use in subset of my thesis, I’ve been given some exchange market data for several exchange-listed products, including Eurodollar rate futures as well US treasury futures and Fed Funds futures. I ...
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1answer
316 views

bootstrapping bloomberg

Does anyone know the zero rate here at -0.23022 is derived? I have tried (1+0.0056*0.503)*(1+-0.00232*0.086)=(1+?^(1/0.589). Solving for ? gives me -0.002344. I have tried simple and compounded ...
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Do you optimise models on bootstrapped 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 ...
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129 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 ...
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83 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). ...
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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 ...
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153 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 ...
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2answers
200 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 ...
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1answer
1k 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 ...
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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 ...
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1answer
198 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 ...
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2answers
601 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 ...
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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 ...
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1answer
709 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 ...
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1answer
524 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 ...
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1answer
810 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 ...
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1answer
433 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 ...
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1answer
373 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 ...
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395 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 ...
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2answers
338 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 ...
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287 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 ...
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811 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(...
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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 ...
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580 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-...
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872 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 ...
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563 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 ...