# 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 ...
1 vote
88 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 ...
102 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. ...
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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&...
549 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 ...
• 103
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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 ...
108 views

### 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-...
• 407
1 vote
202 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 ...
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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: ...
• 101
201 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 ...
• 1
1k 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 ...
• 115
1 vote
212 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 ...
• 11
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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 ...
1 vote
2k 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 ...
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 ...
• 406
1 vote
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### 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
56 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 ...
• 593
330 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 ...
• 303
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 ...
• 2,107
122 views

### 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 vote
1k views

### 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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### 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 ...
• 173
2k views

### 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 ...
• 413
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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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