Questions tagged [discount-factor-curve]
The discount-factor-curve tag has no usage guidance.
11
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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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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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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....
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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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Discount curve from spot rates for bond pricing
I have a bond with the following cash flow and maturity:
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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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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 ...
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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:
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FX Reset in MTM Xccy Swap - Curves & Collateralization
Background
Suppose I look into a EUR-vs-JPY Cross Currency Basis Swap with MTM feature (i.e., including quarterly resetting notional on one of the two legs). Cashflows are projected off the ESTR & ...
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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 ...
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How to discount zero curve from settlement date to today's date
I am new to curve building. I understand that usd libor and sofr instruments have a settlement lag of 2 days. I believe that means that the start date of the libor and sofr curves will be in 2 days. ...
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