Questions tagged [discount-factor-curve]
The discount-factor-curve tag has no usage guidance.
58
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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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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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1
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Why are multiple custom curves (swap) built for one desk?
Currently in a journey of learning and getting my hands a bit dirty with Interest Rate Swaps.
Why there are multiple customized curves built by many even within one desk? For e.g. Short Rates desk ...
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3
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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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2
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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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What curve are you shifting when you calculate DV01 for a swap?
I understand that a general swap has 4 curves attached to it: the flat forecast curve associated with the fixed leg, the forecast curve associated with the floating leg, the fixed leg discount curve ...
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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 ...
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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 ...
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Correct Discount Curve for Exchange Traded (Centrally Cleared) Products
What's the correct discount curve to use for exchange traded products? Would these be discounted at the OIS rate (because of the central clearing house)?
E.g. the E-Mini S&P500 Future @ CME: I'm ...
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0
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 ...
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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 ...
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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 ...
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Discount Factors to Zero Rates
I have obtained a Ibor-6Months curve using bootstrapping techniques. For the short-term of the curve I used spot, for the middle-term FRAs and for the long-term IRS.
The curve that I have obtained is ...
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OIS Discount Factor Bootstrapping - Do we assume simple interest?
When I am reading papers (ie here and here) on bootstrapping discount curves they refer to obtaining discount factors from rates for swaps maturing less than a year with:
$$D(t, T_i) = \frac{1}{1+s_i(...
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1
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Discount factor
Suppose we have :
$r$ - zero coupon rate, constant over time,
$n$ - a number of years (an integer),
$\theta$ - a fraction of a year $(\theta < 1)$ , calculated with the relevant day count ...
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Curve building for a swap
I'm a student learning how to build a swap curve, I've deposit 6m rate = 5%, fra 6-12m rate = 5.8% and 12m-18m rate= 6% and swap 2y =7% and 3y swap rate = 7.5%.
I get the correct discount factors for ...
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Convexity in interest rate curve bootstrapping
Whether the bootstrapping is a multicurve one or not, one can use futures quotes. One link these quotes to corresponding (synthetic) forwards (that can be expressed as known functions of zero-coupons) ...
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Linear interpolation Discount factors
I am not sure how to perform a linear interpolation between discount fators for swap quotes. Lets say I have the following market quotes:
...
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1
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Determining discount factors for non-standard maturities
Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...
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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 ...
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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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1
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Discount factor taking into account yield curve shape
I have always been told that the discount factor formula is just:
$$
DF(T) = \frac{1}{(1+L_{t_0})^T}
$$
where $L_{t_0}$ is the LIBOR rate on one period (the first one I guess) and $T$ the number of ...
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2
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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
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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 ...
1
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1
answer
369
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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 ...
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1
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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 ...
1
vote
1
answer
993
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Constant continuous forward rate interpolation
Assume that the continuously compounded forward rate is constant between two node points. What is the interpolated discount factor between these two points?
So you have the two discount factors $D_{...
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2
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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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Characteristics of a Discount Curve
Does the discount curve used for discounting cash flows have to be a zero coupon, annual compounding, actual by actual day basis curve? In practice, does a curve used for discounting necessarily have ...
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2
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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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1
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Swaps curve building with Deposit, FRAs & Swaps
I'm new to curve building with Deposit, FRAs & Swaps, I understand the process the main struggle I've is with day conventions and swap delays,cash delays, pay delays ... it's hard to find a book ...
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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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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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From Discount Factor to Zero rate [duplicate]
Hello guys, starting from this picture, which is the method that you usually use in order to find Zero Rate from Discount Factor?
Thank you in advance
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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.
...
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How do I calculate from discountfactor to zerorate in Python using Quantlib [closed]
I knew rate to discountfactor
InterestRate.discountFactor(yearFraction)
I want to calculation discountfactor to zerorate
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1
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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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Understanding DiscountCurve in quantlib
I want to create a TermStructureHandle handle in python using quantlib. I use the DiscountCurve class and enter the list of dates and discount factors as follows:
<...
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0
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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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2
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Discount factors curve shapes
I have 2 discount factor curves;
DF 1
I expected every DF curve to have the shape of the 2nd one (almost a straight line), what does it mean economically when a DF curve has the shape of the 1st one? ...
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1
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Quantlib interpolated zero rates not as expected
I have created a piecewise linear zero curve using quantlib (c++). It's a NACA, modifiedFollowing swap curve. When I extract the zero rates on the pillar dates the rates line up with what is expected ...
0
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1
answer
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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 ...
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How to use USD OIS discounting for local currency uncollateralised swaps?
I am wanting to do MTM valuations of uncollateralised swaps as our banks have switched to using the USD OIS curve for their discounting (assuming no xVA adjustments). None of the cashflows we are ...
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1
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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 ...
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1
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Bootstrap discounted cash flow
I'm trying to follow the case study here and wasn't able to get the same discounted cash flow table as is shown in step 3 under Part II.
bootstrap discounted cash flow
Below is the cash flow table I ...
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In curve building: How to calculate interest rate (discount factor) for period before first known effective date
I am building a curve using par swaps rates. For example, I have the following two semi-annual swaps for input
Duration start end rate
1year 14-Nov-2011 14-Nov-2012 ...
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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
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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 ...
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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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