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.
11
questions
4
votes
1
answer
3k
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.
I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear words).
...
2
votes
2
answers
3k
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 ...
- 123
9
votes
2
answers
4k
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 ...
user2921
5
votes
1
answer
6k
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 ...
- 115
5
votes
1
answer
5k
views
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:
...
- 559
4
votes
1
answer
6k
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 ...
- 45
2
votes
0
answers
1k
views
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 ...
2
votes
0
answers
658
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 ...
- 175
1
vote
1
answer
397
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 ...
- 87
0
votes
1
answer
2k
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 ...
- 49
0
votes
1
answer
2k
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). ...
- 45