Questions tagged [discount-factor-curve]

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Single Curve Problem - due to Basis

I recently came across the single curve problem that states that we need differenct curves for discounting cashflows and projecting forward floating rates. On google I am not able to find a proper ...
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Interpolation and extrapolation of Discount factors

We are sourcing the discount factors for various currencies. What is the best interpolation method for dates between and out of the dates provided in the factors? Shall I go for flat forward or cubic ...
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Methodology to build a Fed Funds curve post LIBOR cessation

With the transition from LIBOR to SOFR, what is the market standard for building a Fed Funds curve? In the "old days", I believe that one would use Fed Funds futures for the front-end (i.e. ...
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Forward starting discount curve

If I have a discount curve with discount factors at each point on the curve Df(0,T), and I want to calculate the PV of a series of future cashflows in t years, is it correct to create a "forward&...
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SOFR Discount Curve Construction in Nov 2021

On July 29, 2021, the Alternative Reference Rates Committee (ARRC) formally recommended the forward-looking term rates based on SOFR published by the CME Group. CME currently publishes Term SOFR for ...
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How do I calculate Hull White's Theta from the discount curve?

The Question I'm currently implementing the a finite difference method for the Hull-White model, shown below: $$\mathrm{d}r(t)=\lambda[\theta(t) − r(t)]\mathrm{d}t + \sigma\mathrm{d}W(t)\tag{1}$$ This ...
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What is the correct way to build a full swaps curve using discount factor interpolation?

I want to keep this as high-level as possible so that the rest can be figured out, but we will use DF log-cubic interpolation. (Convert rates curve to discount factor curve, interpolate this using log-...
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Calculating the short rate from the discount curve

I'm currently looking at some code that implements the Hull-White model. As one of the inputs, the code accepts a table of discount factors at various dates. Time in Years Discount Factor 0 1 0.003 ...
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How to compute CME IRS daily close quote from ['Zero', 'DF'] in CME archieved IRS files?

I am looking at CME IRS data. CME archived irs data has following format: ...
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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 ...
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4 votes
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Swap curve construction

I am new to this area so my question might be basic to many but please answer. For valuing interest rate swaps how will we define which curve to take, like sometimes we use usd 3m curve, or usd 3mv 6m ...
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Current discount rate of Hull White One-Factor Monte Carlo Simulation

I have a question about the Hull-White One-Factor Monte Carlo Simulation. As we know under the Hull-White One-Factor Model, the short rate follows a random process. So basically, every simulation path ...
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3 votes
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When we try to build curves, why we need fixings?

When we try to build a curve, we somehow need "fixings". Looks like it is when the market data created date less than the evaluation date, we put that market data into fixings. I don't really under ...
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Using Discount Rates and Zero rate curve from Bloomberg in Quantlib

I'd like to use the Discount Rates and Zero rate curve from Bloomberg instead of deriving the rates from the yield curve. Can someone share a sample code to use these rates directly in VanillaSwap or ...
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2 answers
370 views

Extrapolation between today and the spot date curve building

I'm trying to build my libor curve using (Deposit, FRAs and Swap) instruments with the goal that my curve match the murex curve, my parameters are : My today date is : 23/10/2019 Start of my deposit ...
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1 answer
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Constant continuous forward rate interpolation

Assume that the continuously compounded forward rate is constant between two node points. What is the interpolated discount factor between these two points? So you have the two discount factors $D_{...
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5 votes
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Curve building dates overlapping impact on discount factor

I'm building a short end of the libor curve using deposit & fra due to overlapping in dates I get wrong values of Discount factor, here's the data i'm working with: My today date is : 23/10/2019 ...
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Swaps curve building with Deposit, FRAs & Swaps

I'm new to curve building with Deposit, FRAs & Swaps, I understand the process the main struggle I've is with day conventions and swap delays,cash delays, pay delays ... it's hard to find a book ...
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-1 votes
1 answer
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Basis Swap Dual Curve Calibration

The long end of the Libor swap curve needs to be constructed from Basis Swaps because there are no other instruments traded. Can please someone explain the concept of Dual Curve Calibration?
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discount factor, zero rates, zero curve from BBG

How can I calculate the discount factor for row 1? I would do $$ \frac{1}{(1+ 2.13763/100)^{(90/360)}} = 0.994726197703956 $$ My ultimate goal is to reproduce the Zero Rates. Any hints welcome. ...
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2 votes
1 answer
208 views

Curve building for a swap

I'm a student learning how to build a swap curve, I've deposit 6m rate = 5%, fra 6-12m rate = 5.8% and 12m-18m rate= 6% and swap 2y =7% and 3y swap rate = 7.5%. I get the correct discount factors for ...
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3 votes
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Correct Discount Curve for Exchange Traded (Centrally Cleared) Products

What's the correct discount curve to use for exchange traded products? Would these be discounted at the OIS rate (because of the central clearing house)? E.g. the E-Mini S&P500 Future @ CME: I'm ...
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2 votes
1 answer
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Convexity in interest rate curve bootstrapping

Whether the bootstrapping is a multicurve one or not, one can use futures quotes. One link these quotes to corresponding (synthetic) forwards (that can be expressed as known functions of zero-coupons) ...
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How do I calculate from discountfactor to zerorate in Python using Quantlib [closed]

I knew rate to discountfactor InterestRate.discountFactor(yearFraction) I want to calculation discountfactor to zerorate
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1 answer
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What discount rates should I use to price a municipal bond with unknown market price?

I have a payoff structure but I do not know the price of the bond. The bond is municipal. What discount rates should I take for each period in order to calculate its fair price?
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2 votes
3 answers
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Discount Factors to Zero Rates

I have obtained a Ibor-6Months curve using bootstrapping techniques. For the short-term of the curve I used spot, for the middle-term FRAs and for the long-term IRS. The curve that I have obtained is ...
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Bootstrap discounted cash flow

I'm trying to follow the case study here and wasn't able to get the same discounted cash flow table as is shown in step 3 under Part II. bootstrap discounted cash flow Below is the cash flow table I ...
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1 answer
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Understanding DiscountCurve in quantlib

I want to create a TermStructureHandle handle in python using quantlib. I use the DiscountCurve class and enter the list of dates and discount factors as follows: <...
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1 answer
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Linear interpolation Discount factors

I am not sure how to perform a linear interpolation between discount fators for swap quotes. Lets say I have the following market quotes: ...
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How to use USD OIS discounting for local currency uncollateralised swaps?

I am wanting to do MTM valuations of uncollateralised swaps as our banks have switched to using the USD OIS curve for their discounting (assuming no xVA adjustments). None of the cashflows we are ...
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Calculating Discount Margin on a floating rate bond using QuantLib

Going off Luigi's hint on this answer: Setting up Schedule for an amortizing floater in QuantLib I was able to cobble something together but I'm unable to verify if it's correct. TLDR: I was able to ...
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In curve building: How to calculate interest rate (discount factor) for period before first known effective date

I am building a curve using par swaps rates. For example, I have the following two semi-annual swaps for input Duration start end rate 1year 14-Nov-2011 14-Nov-2012 ...
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1 answer
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OIS Discount Factor Bootstrapping - Do we assume simple interest?

When I am reading papers (ie here and here) on bootstrapping discount curves they refer to obtaining discount factors from rates for swaps maturing less than a year with: $$D(t, T_i) = \frac{1}{1+s_i(...
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Characteristics of a Discount Curve

Does the discount curve used for discounting cash flows have to be a zero coupon, annual compounding, actual by actual day basis curve? In practice, does a curve used for discounting necessarily have ...
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4 votes
3 answers
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What curve are you shifting when you calculate DV01 for a swap?

I understand that a general swap has 4 curves attached to it: the flat forecast curve associated with the fixed leg, the forecast curve associated with the floating leg, the fixed leg discount curve ...
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3 votes
0 answers
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Equations for multicurve calibration with OIS discounting

I am trying to calibrate my forecast and discount curves using the multi-curve approach with OIS discounting. To do so, I have a implemented multivariate Newton-Raphson root finder. I am finding a bit ...
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2 votes
1 answer
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Determining discount factors for non-standard maturities

Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...
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Discount curve from spot rates for bond pricing

I have a bond with the following cash flow and maturity: ...
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2 votes
1 answer
428 views

Discount factor taking into account yield curve shape

I have always been told that the discount factor formula is just: $$ DF(T) = \frac{1}{(1+L_{t_0})^T} $$ where $L_{t_0}$ is the LIBOR rate on one period (the first one I guess) and $T$ the number of ...
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Discount factor

Suppose we have : $r$ - zero coupon rate, constant over time, $n$ - a number of years (an integer), $\theta$ - a fraction of a year $(\theta < 1)$ , calculated with the relevant day count ...
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591 views

Zero-rate USD Curve

Good day, I have inputs: Libor 1D, 1M, 2m, 3m. FRA 3x6, 3x9, 3x12 IRS 2Y, 30Y. What formula should I use to construct zero rate curve? Thanks
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Valuing corporate EUR loan of US entity? Which discount rate to use? US or EU?

If a US entity borrows in EUR and I need to perform a DCF valuation on that borrowing, should I use USD based curve (for the appropriate rating) or EUR based curves? In other words do I use the ...
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1 answer
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Dual discounted forward curve

I was wondering how to calculate the forward rates based on OIS discounting for the half year terms. I know how to do this for the full year terms -> just making sure that the two legs are equal to ...
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2 votes
1 answer
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Discount Curve built-up

For a particular currency, let's say for USD, I'd like to know how to construct a discount curve? I've an impression that one professor told me that for USD, less than 3 months, it's using Libor ...
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2 votes
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Build spot rate curve with multiple treasuries for each maturity

I have the following treasuries: T 0 1/4 01/31/15 at 100.1236 T 2 1/4 01/31/15 at 101.1257 T 0 1/4 02/15/15 at 100.1251 T 4 02/15/15 at 101.9994 T 11 1/4 02/15/15 at 105.6269 T 0 1/4 02/28/15 at 100....
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1 answer
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negative discount and zero rate on swap bootstraping

Hi I am writing a program to Bootstrap a EURO zero swap-curve for tenor 3M and 6M with given bid and ask. When I run the program , I get a negative zero rate and discount factor from 5Y till 30Y for ...
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2 votes
2 answers
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Curve Euribor - Euribor 3M

I'm setting up some Euribor 6M and Euribor 3M curves. So far i have all the data and quotes i need, but i'm having trouble defining the firsts points of the curve. I'm currently using 6M Euribor and ...
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4 votes
1 answer
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Incoherence in Bloomberg Data in Swap Curve Builder (ICSV)

When working on calibration for LMM model, we need to have Initial Libor quotes and Swaptions Black vol quotes on the market data. We have data provided by Bloomberg. However, before performing the ...
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2 answers
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How is the price of a bond actually determined?

How the price of a bond is actually determined? Is it the supply-demand that determines the price first and then the YTM is calculated on the back of this for that bond. Or is it that the changes to ...
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11 votes
3 answers
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Deriving Interest Rates

I am trying to teach myself about interest rate swaps, how they are priced, etc... Easy enough - just comparing cash flows of fixed and floating rate bonds. However, what I'm struggling with is how ...
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