Questions tagged [forward-curve]

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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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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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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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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 ...
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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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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 ...