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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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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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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568 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 ...
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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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50 views

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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30 views

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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335 views

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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142 views

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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156 views

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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743 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\...
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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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71 views

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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89 views

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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43 views

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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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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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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Help with aligning discount factors and forwards for Interest Rate Swap valuation using Quantlib

I am trying to price an IRS using Quantlib. As a natural benchmark for pricing, I use Bloombergs SWPM function. Before digging into the actual pricing, I want to see if my bootstrapping of the curves ...
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Quantlib bootstrapping error, convergence not reached

trying to build the spot yield curve for AUD by using the following data from bloomberg, RBACOR Index The Reserve Bank of Australia interbank overnight cash rate 0.03 ADBB1M 1m bank bill 0.005 ...
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32 views

Excel for bootstrapping semi-annual bond

I have cash flows with me, and need to calculate the discount factors or zero coupon rates. I know about NPV and XNPV, but I don't have dates, and I'm not sure whether these work for S/A payments. ...
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1answer
80 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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55 views

Construction of vol term structure for Libor

When we want to construct Interest rate term structure we look at various market instruments like futures, swaps etc. and using ...
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95 views

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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70 views

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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91 views

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 ...