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Bloomberg Interest Rates Swaps Curve Fitting in the presence of Serial FRA

The documentation points to a different approach than the standard linear in log discount factors. The EURIBOR 6M curve 45 is the prime example. Does anyone understand the implementation details of ...
roi0113's user avatar
2 votes
2 answers
202 views

QuantLib Python - Discount Factor Interpolation within curve nodes

Generated a discount curve, dCurve.PiecewiseLogLinearDiscount() using input par rate for terms (.5Y, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 15Y, 20Y, 30Y) and output discount curve matching the input term structure....
Mike's user avatar
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1 vote
0 answers
179 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 ...
AleVis's user avatar
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0 answers
470 views

Why is the log of the discount curve used?

I was reading here: SAP S/4HANA Software Documentation Calculation Methods for Interpolating the Yield Curve The option Linear Interpolation of Log( Discount Factor ) means the system keeps ...
JoeBass's user avatar
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1 vote
0 answers
75 views

From Discount Factor to Zero rate [duplicate]

Hello guys, starting from this picture, which is the method that you usually use in order to find Zero Rate from Discount Factor? Thank you in advance
Gianluca's user avatar
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0 answers
159 views

QuantLib: Getting the present value of a leg of cashflows using a 'risk-free' yield curve

I am trying to evaluate the present value of some cashflows and QuantLib does not return the discount factors that I am expecting. I have a Risk Free (Zero Coupon Bond) Yield curve: ...
Leonardo Cruciani's user avatar
1 vote
0 answers
378 views

Quantlib: swap curve discount rate from spot rates

I'm new to Quantlib on Python and I'd like to use the overnight swap rate from Bloomberg to derive the swap curve discount factors. I don't know which yield term structure I should specify? I checked ...
sp1r0u's user avatar
  • 13
0 votes
1 answer
333 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 ...
Douglas Gagiano's user avatar
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2 answers
262 views

Discount factors curve shapes

I have 2 discount factor curves; DF 1 I expected every DF curve to have the shape of the 2nd one (almost a straight line), what does it mean economically when a DF curve has the shape of the 1st one? ...
darkuss's user avatar
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0 answers
65 views

Single Curve Problem - due to Basis [duplicate]

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 ...
Maths student G's user avatar
2 votes
1 answer
441 views

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 ...
Quant enthsiast's user avatar
3 votes
0 answers
177 views

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. ...
equanimity's user avatar
7 votes
1 answer
2k views

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 ...
JoeBass's user avatar
  • 93
0 votes
1 answer
469 views

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 ...
user59093's user avatar
1 vote
2 answers
500 views

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 ...
user54908's user avatar
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1 answer
566 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 ...
ARS's user avatar
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4 votes
2 answers
3k views

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 ...
Novice's user avatar
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1 vote
1 answer
393 views

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 ...
Kay's user avatar
  • 11
3 votes
1 answer
469 views

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 ...
Guifan Li's user avatar
1 vote
1 answer
3k views

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 ...
Rajesh Virassamy's user avatar
0 votes
2 answers
480 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 ...
Gogo78's user avatar
  • 636
1 vote
1 answer
1k views

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_{...
emcor's user avatar
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5 votes
3 answers
597 views

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 ...
Gogo78's user avatar
  • 636
1 vote
1 answer
151 views

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 ...
Gogo78's user avatar
  • 636
-1 votes
1 answer
285 views

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?
emcor's user avatar
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1 vote
1 answer
1k views

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. ...
PalimPalim's user avatar
2 votes
1 answer
322 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 ...
Gogo78's user avatar
  • 636
3 votes
2 answers
531 views

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 ...
Jared's user avatar
  • 745
2 votes
1 answer
506 views

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) ...
Olórin's user avatar
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1 vote
0 answers
68 views

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
Course's user avatar
  • 11
1 vote
1 answer
330 views

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?
kirill zakharov's user avatar
2 votes
3 answers
7k views

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 ...
SciPhy's user avatar
  • 111
0 votes
1 answer
216 views

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 ...
sl007's user avatar
  • 11
1 vote
1 answer
2k views

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: <...
lbf_1994's user avatar
  • 383
2 votes
1 answer
3k views

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: ...
MCM's user avatar
  • 220
0 votes
1 answer
1k views

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 ...
Dana's user avatar
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1 vote
1 answer
2k views

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 ...
Kyle's user avatar
  • 71
0 votes
2 answers
5k views

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 ...
Dejan's user avatar
  • 157
2 votes
1 answer
2k views

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(...
JSharm's user avatar
  • 123
1 vote
1 answer
545 views

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 ...
Karuna's user avatar
  • 11
4 votes
3 answers
5k views

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 ...
Vivek Patel's user avatar
4 votes
0 answers
809 views

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 ...
Iliana's user avatar
  • 139
2 votes
1 answer
225 views

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 ...
sashkello's user avatar
  • 989
1 vote
0 answers
152 views

Discount curve from spot rates for bond pricing

I have a bond with the following cash flow and maturity: ...
Seb's user avatar
  • 111
2 votes
1 answer
479 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 ...
Sithered's user avatar
  • 808
2 votes
1 answer
366 views

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 ...
Eva Dahlbeck's user avatar
0 votes
1 answer
662 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
Under's user avatar
  • 1
0 votes
1 answer
57 views

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 ...
PBD10017's user avatar
  • 623
2 votes
1 answer
386 views

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 ...
Oamriotn's user avatar
  • 355
2 votes
1 answer
3k views

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 ...
athos's user avatar
  • 2,231