Questions tagged [discount-factor-curve]

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2 votes
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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 ...
athos's user avatar
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2 votes
2 answers

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....
capm's user avatar
  • 143
1 vote
1 answer

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 ...
Amiro's user avatar
  • 340
2 votes
2 answers

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 ...
MattR's user avatar
  • 173
4 votes
1 answer

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 ...
ctNGUYEN's user avatar
  • 423
0 votes
2 answers

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 ...
Papal's user avatar
  • 91
12 votes
3 answers

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 ...
rex's user avatar
  • 607
6 votes
1 answer

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 ...
bonCodigo's user avatar
  • 523