Questions tagged [discount-factor-curve]

The tag has no usage guidance.

9 questions
Filter by
Sorted by
Tagged with
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 ...
• 115
3k views

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 ...
• 627
609 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 ...
• 646
1 vote
2k 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. ...
• 309
3k 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
1 vote
561 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 ...
• 437
1 vote
253 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 ...
• 11
1 vote
3k 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 ...
• 71