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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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 ...
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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 ...
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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 ...
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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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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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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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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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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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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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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 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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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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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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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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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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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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