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# 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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### Type of rates required for ql.OvernightIndex

I'm trying to bootstrap the new F-TIIE curve for mexico. It is an overnight curve which fixings are 1 day forward rates published daily by the central bank of Mexico. On holidays, the last fixing is ...
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### How to calculate zero rate for deposits in an interest rate curve in PiecewiseLinearZero method

I am trying to duplicate zero rates and discount factors from ql.PiecewiseLinearZero method. To simplify calculation, I only use one deposite rate: 3M Euribor 0.03822. I set evaluationDate as ql.Date(...
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### swap curve calibration with interpolation using newton-like method

suppose 2 swap market quotes for 1Y and 2Y and that swap payments occur semi-annually. calibrating / obtaining the discount factors means finding 4 unknowns / discount factors that reproduce the ...
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### Combining term structure types in Quantlib

Is it possible to combine multiple term structure types for curve construction in quantlib? Specifically I want to be able to construct an OIS curve that is stepped in the short end with pillars at ...
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### Quantlib: SOFR IRS Fair Rate not the same as inputs

I am making an OIS curve and a SOFR curve with bloomberg quotes When I valuate a SOFR swap in the same tenors as the SOFR inputs, the FairRates are not the same as the quotes I used to create the ...
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590 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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### Value-at-Risk of a portfolio with a stock after recent IPO

I have a task to calculate VaR for a portfolio of stocks and bonds. The main problem is that there is 1 stock which IPO was in November 2023 so there is few data points. To cope with that I came up ...
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1 answer
154 views

### Best Practices for Maintaining and Automating Interest Rate Curve Bootstrapping in QuantLib"

We are a small team managing about 20 scripts for bootstrapping interest rate curves using QuantLib. Our process involves taking in interest rate swap data, bootstrapping curves, and then using these ...
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1k views

### 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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### Confusion About PFE Calculation and XVA Pricing Engine's Exclusive Reliance on Parameter Simulation

Potential Future Exposure (a credit risk metric) is calculated using $$PFE(\tau) = \text{max}\Big(0, \mathcal{P}_{derivative}(\tau) - CVA(\tau)\Big)$$, where $\mathcal{P}$ is the price / fair value / ...
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### ConstNotionalCrossCurrencyBasisSwapRateHelper in QuantLib doesn't give expected result

I'm trying to bootstrap to get discount curve based on cross currency basis swap using ConstNotionalCrossCurrencyBasisSwapRateHelper in QuantLib. As a test, I tried to bootstrap the discount curve ...
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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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463 views

### 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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### 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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1 answer
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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 ...
1 vote
1 answer
662 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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### 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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281 views

### 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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1 answer
606 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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### 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 ...
1 vote
2 answers
555 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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### 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 ...