# Questions tagged [discount-factor-curve]

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11 questions with no upvoted or accepted answers
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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 ...
• 129
166 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. ...
• 409
1 vote
35 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....
• 11
1 vote
289 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?
1 vote
148 views

### Discount curve from spot rates for bond pricing

I have a bond with the following cash flow and maturity: ...
• 111
93 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 ...
210 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 ...
• 123
111 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: ...
183 views

### 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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