Questions tagged [forward-curve]
The forward-curve tag has no usage guidance.
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forward LIBOR curve bootstrapping
how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info:
par rates of a set of OIS
fixed 6M LIBOR rate
par rates of a set of Swaps which the underlying ...
0
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1answer
96 views
Interpolation of Zero rate curve
I have the zero rates at certain time nodes, say 3-month, 5-month, 8-month,...,2-yr,... Now I want to interpolate the curve so that the implied one-month forward rates are piecewise linear. That is, ...
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37 views
Comparing curve fits
I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
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34 views
FX Forward Curve Date Roll
I an typical efx system, fx forward curves are built from reuters broker pages and then spreads, skews and overrides are applied before streaming their own prices. These cache of curves need to be ...
1
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1answer
118 views
curve construction for Non deliverable forward
how to construct a forward curve for Non Deliverable Forwards if I Have swap points and outright forward
Is it good to construct a curve using forward swap point or directly outright forwards
...
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46 views
CME Metals Settlement methodology
I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Metals+Futures+Settlement+Algorithm+Examples
For ...
