Questions tagged [discount-factor-curve]
The discount-factor-curve tag has no usage guidance.
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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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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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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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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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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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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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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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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 ...
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