Questions tagged [forward-curve]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
1 answer
121 views

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 ...
user avatar
0 votes
0 answers
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 ...
user avatar
  • 135
0 votes
0 answers
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 ...
user avatar
0 votes
0 answers
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,...
user avatar
  • 9
0 votes
1 answer
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 $f(t) = s(t) + \epsilon(t)$ ...
user avatar
0 votes
0 answers
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
user avatar
1 vote
1 answer
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 ...
user avatar
  • 111
0 votes
0 answers
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-...
user avatar
  • 407
1 vote
0 answers
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: ...
user avatar
1 vote
0 answers
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 ...
user avatar
  • 11
0 votes
1 answer
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, ...
user avatar
  • 123
2 votes
1 answer
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 ...
user avatar
  • 115
0 votes
0 answers
51 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 ...
user avatar
  • 389