# Questions tagged [forward-curve]

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1 vote
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### How to build an FX curve?

Apologies for the rather broad question! Essentially, I wanted to ask how to build an FX forward curve from scratch. I have some basic understanding of interest rates and discounting but I am lacking ...
48 views

### Modelling assets driven by a single factor together

I have a dataset consisting of broker prices (time-series) for OTC oil derivatives (as in actual Naphtha derivative, not financial derivative) in commodities. Each oil product (derivative) has 12 ...
• 135
60 views

### Single Curve Problem - due to Basis [duplicate]

I recently came across the single curve problem that states that we need differenct curves for discounting cashflows and projecting forward floating rates. On google I am not able to find a proper ...
52 views

### How to get forward curve from American options

I am curious about how one could derive the forward price for a given tenor when dealing with American options? Since with American options put/call parity is only an inequality that must be satisfied,...
• 9
69 views

### Commodities forward curve

I'm dealing with the calibration of the forward curve for energy products. I found an approach proposed by Benth et al., in which the forward curve is parameterized as $f(t) = s(t) + \epsilon(t)$ ...
64 views

### How to get a one day forward rate from OIS curve?

Let's say we have 1 month OIS Rate and a 2 month OIS rate. How can I construct a 1m1d rate? Bloomberg computes a lot of these one day rates for several months ahead. Thank you
1 vote
85 views

### What's the difference between short rate and the bootstrapped interest rate?

This thing confused me for a long time, since we can a have a curve (e.g. LIBOR 3M) bootstrapped from the market quotes of instruments (e.g. FRA, SWAP), and we can get the spot rates and also the ...
• 111
126 views

### What is the correct way to build a full swaps curve using discount factor interpolation?

I want to keep this as high-level as possible so that the rest can be figured out, but we will use DF log-cubic interpolation. (Convert rates curve to discount factor curve, interpolate this using log-...
• 407
1 vote
146 views

### SOLVED Manually Recomputing Forward Rates from QuantLib Python

I have used QuantLib Python to compute 1-month forward rates from zero rates as at 05 December 2019. My codes can be found below: ...
• 191
1 vote
73 views

### 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 ...
• 11
247 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, ...
• 123
178 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 ...
• 115