Questions tagged [forward-curve]
The forward-curve tag has no usage guidance.
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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 ...
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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 ...
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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 ...
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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,...
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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 $f(t) = s(t) + \epsilon(t)$
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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
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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 ...
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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-...
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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:
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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 ...
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247
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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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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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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 ...
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