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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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1 answer
56 views

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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1 answer
73 views

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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1 answer
63 views

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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68 views

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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2 answers
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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1 answer
41 views

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 ...
1 vote
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 ...
1 vote
1 answer
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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0 answers
56 views

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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1 answer
110 views

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 ...
1 vote
2 answers
1k 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\...
1 vote
1 answer
182 views

Explicit step by step curve construction using FRAs

I'm trying to understand a step by step process of building curve from the instruments to the final result, particularly how overlapped FRAs are used. i'm trying to build this in excel so I have a ...
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Bootstrapping annual and semi annual bond [duplicate]

https://www.wallstreetmojo.com/bootstrapping-yield-curve/ a) This is the standard method for bootstrapping: From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
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1 answer
245 views

How to bootstrap the zero coupon curve for US treasuries

Here is my understanding of the process: Capture price of most recently sold gov security at each tenor of the curve (reference treasuryDirect) For coupon paying securities, (i.e. tenor>2yr) you ...
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1 answer
88 views

Bootstrapping adjustment for coupon

I struggling to get why in bootstrapping I need to divide the YTM by 2 (for semiannual coupons) and not adjust the power for the semiannual period. Please see below example. Consider two bonds with a ...
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1 answer
230 views

Relationship of par-curve and zero-curve/spot-curve

I've been trying to bootstrap the zero-curve from a swap curve composed of ESTR OIS swaps. Theory says when the par-curve is upward sloping, the zero-curve will be above the par-curve and vice-versa. ...
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2 answers
363 views

Bootstrapping the zero-curve/spot-curve from incomplete swap curve par-rates

TL;DR: I have an incomplete set of swap rates and want to bootstrap the zero-rate curve, what can I do? I'm trying to construct a spot-rate/zero-rate curve from a swap curve (i.e. par-rate quotes) ...
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118 views

Quantlib Python bootstrapping with ArithmeticOISRateHelper: cannot find a soluton for forward rate

I am trying to construct a curve based on OIS quotes. Fixed rates in those OIS are quoted againgst the arithmetic average of the floating rate. Consequently, I am using the correspoding helper class - ...
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115 views

Should xccy basis be added before bootstrapping (to swap curve) or after bootstrapping (to zero curve)?

I am trying to bootstrap a GBP zero curve off of a GBP swap (par) curve inclusive of xccy basis (vs USD). Say I have my two curves (swap and basis) - would I sum these and then bootstrap to get zeros, ...
1 vote
0 answers
223 views

Convert US Treasury par yields to spot rates

I'm devising a methodology to transform par yield to spot rates, I'd like to stick with pure python as much as possible so not really after Quantlib (or other libraries) examples. In particular I want ...
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89 views

Issues with bootstrapping to extract discount factors from swap curves

If I equalize the discount factor at the same point in time between a fixed-rate payer and a variable-rate payer, I will have the following problem when referencing the data above the swap curve. Let'...
2 votes
2 answers
527 views

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 ...
1 vote
0 answers
119 views

Apply monotone convex interpolation to swap rate input data

I'm trying to apply Hagan & West's monotone convex interpolation to a 6m EURIBOR (forward) curve using ESTR (already bootstrapped) for discounting. In their paper Hagan & West use discrete ...
2 votes
1 answer
2k views

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 ...
2 votes
1 answer
1k views

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. ...
1 vote
1 answer
465 views

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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1 answer
377 views

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 ...
1 vote
0 answers
778 views

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 ...
1 vote
1 answer
416 views

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, ...
5 votes
1 answer
5k 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). ...
1 vote
0 answers
202 views

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 ...
1 vote
1 answer
658 views

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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109 views

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 ...
1 vote
1 answer
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....
3 votes
1 answer
977 views

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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1 answer
320 views

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 ...
2 votes
0 answers
3k 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
1 answer
1k views

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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1 answer
206 views

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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187 views

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)...
4 votes
1 answer
1k views

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 ...
0 votes
1 answer
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 ...
0 votes
1 answer
3k views

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 ...
1 vote
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 ...
1 vote
0 answers
571 views

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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1 answer
593 views

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 ...