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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BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve
I struggle to understand why my market rates does not match my bootstrap model. So I wonder why the spread is that high between market & model.
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Python yield curve bootstrapping equivalent to Matlab IRDataCurve.bootstrap
I want to bootstrap the yield curve of multiple currencies using 3M futures. I have it implemented in Matlab, but need to transfer to Python. I have a vector of dates and a vector of future prices.
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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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How to calculate the discount factors for two deposits in an interest rate curve [closed]
I am trying to calculate the zero rate for a piecewise linear zero curve. I have the following deposit on the short end
STIBOR 1D, is identified as a tomorrow next deposit: 0.02416
STIBOR 3 Month: 0....
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QuantLib: How to bootstrap Yield Curve using 3M futures - Python
I need to bootstrap a yieldcurve with 3M futures, using a cubic spline if possible.
Using, for example 3M Euribor, how do I bootstrap the yield curve using python?
I have a vector of dates and a ...
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Quantlib interpolated zero rates not as expected
I have created a piecewise linear zero curve using quantlib (c++). It's a NACA, modifiedFollowing swap curve. When I extract the zero rates on the pillar dates the rates line up with what is expected ...
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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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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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Test significance of Sharpe ratio using machine learning
I am trying to create forecasts for ETF returns using machine learning tools and I am creating mean-variance portfolios based on these forecasts. I want to compare the Sharpe ratios of these different ...
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Can I use spot rates bootstrapped from a swap curve to price a bond?
Say that some corporation has a long position in a fixed rate bond. To turn this into a float-rate asset, they take a fixed paying position in a fixed/float swap. If we are given the par swap curve, ...
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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.
I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear words).
...
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Nelson-Siegel on a bootstrapped swap curve with cubic spline
I bootstrapped a swap curve and then, having the zero rates, I used Nelson-Siegel to estimate a terminal rate at $t+1$. However, because I am using a cubic spline, the new long term rate changes the ...
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How does Bloomberg bootstrap CASH Instruments?
Given the following datas :
If we do the bootstrap methodology for CASH Instrument we gotta :
Calculate the DF associated to the Market Quoted Rate (2.91157). For the 3M Fixing we have :
T = 0.26115.
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Bootstrap Reality Check - Why does it only assess the best trading strategy?
I wonder why White's BRC only determines whether the best trading strategy is statistically profitable.
What prevents us from comparing the average V of the second best strategy (i.e. square root of ...
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Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping
Having the following UST Active Curve :
Tenor
Tenor ticker
bid_yield
Coupon
1M
912796XM Govt
1.891
0
2M
912796XV Govt
2.225
0
3M
912796V6 Govt
2.52
0
6M
912796XS Govt
3.026
0
1Y
912796XQ Govt
3....
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Forward Equity Curve Computation
I have been thinking about how forward equity prices are usually computed.
For the purpose of simplicity, let us take a share paying deterministic discrete dividends $(D_i)$ at times $(T_i)$ with a ...
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Why the 3M Zero Rate is not equal to the 3M Cash Rate? On Bloomberg yield curve bootstrapping
Can someone explain to me why the 3M Zero Rate is not equal to the 3M Cash Rate?
Thanks.
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Trying to learn to bootstrap with the Treasury Curve and can't seem to get a result that makes sense
I'm trying to learn to bootstrap and am taking some bonds from the Treasury curve:
https://docs.google.com/spreadsheets/d/1vA7s4ZfFzGfTji_d9cLUid5rqyaugRrI0etCW_3Jb6w/edit?usp=sharing
For some reason ...
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How Bloomberg calculates discount rates for zero rate curves?
I would like to ask about discount rates calculation algorithm by Bloomberg terminal.
In the image above is possible to notice the discount rate for each term. The short end, instruments from 1 DY up ...
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Yield curve bootstrapping: direct market rates vs discount factors interpolation
From my understanding, there are (most generally speaking) two approaches for bootstrapping the yield curve (with an exact method). We can either interpolate between the market quotes (interbank ...
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Bootstrapping when cashflows are irregular
EDIT: this question was previously closed because it was 'assumed that it should be common knowledge'. I advise you to READ THE QUESTION PROPERLY and you will find out is is NOT common knowledge at ...
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No. of payments in 15/18/21 month ESTR OIS
I want to construct a zero-curve from EUR OIS rates (IR swaps with ESTR as the floating rate).
For bootstrapping, some of the contracts I use have maturities of 15, 18 and 21 months (RIC: EUREST15M= ...
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Annualizing the pay frequency of underlying swaps when bootstrapping the zero curve?
Say I'm looking to bootstrap two zero curves based on two swap curves with different underlying currencies and, consequently, two different pay structures in the swap contracts. For example, say I ...
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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