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Questions tagged [forward-curve]

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2 votes
1 answer
443 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 ...
1 vote
1 answer
1k 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 ...
1 vote
1 answer
885 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: ...
0 votes
1 answer
82 views

Forward variance in rough heston model

When calibrating or trying to approximate the rough heston model by a neural network, why is it done according to the hurst parameter, the correlation, the volatility of volatility and the forward ...
1 vote
1 answer
72 views

Combining term structure types in Quantlib

Is it possible to combine multiple term structure types for curve construction in quantlib? Specifically I want to be able to construct an OIS curve that is stepped in the short end with pillars at ...
0 votes
0 answers
52 views

Explicit pythonic building of Flat Forward Curve using Changes assumed from central bank meetings to price FRAs

This question is related to the following questions asked previously, primarily the first: Using QuantLib to build Flat Forward Curve using Changes assumed from central bank meetings to price FRAs ...
0 votes
0 answers
33 views

Pricing FRA rates from changes in rates due to ECB meetings and vice versa

This is somewhat building on top of my last question: Explicit step by step curve construction using FRAs I'm trying build (in python) and understand something that will allow me to reprice 6M EURIBOR ...
1 vote
1 answer
217 views

Explicit step by step curve construction using FRAs

I'm trying to understand a step by step process of building curve from the instruments to the final result, particularly how overlapped FRAs are used. i'm trying to build this in excel so I have a ...
0 votes
0 answers
80 views

one factor model for forward curve - Clewlow and Strickland

In their book, Energy Derivatives Pricing and Risk Mgmt, the authors introduce a one factor SDE for the forward curve as follows: $\frac{dF}{F} = \sigma e^{-c(T-t)} dW$ F(t) is the forward curve at ...
0 votes
0 answers
54 views

Relationship Between the Equity Funding Curve and Equity Forward Curve

am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
1 vote
0 answers
42 views

forward price and forward rate of a corporate bond

For risk free zero coupon bonds we can derive forward rates from observed the prices of zero coupon bonds. For example if the 1y zero rate is 1% and the 2y zero rate is 2% we can derive that the 1yr ...
0 votes
0 answers
106 views

Constructing the FedFunds Yield Curve with jumps at FOMC meetings

When constructing the FedFunds yield curve I want to define the curve based on two separate interpolation schemes. The first on the short end being LogLinear on the discount factors between FOMC ...
0 votes
1 answer
489 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 $f(t) = s(t) + \epsilon(t)$ ...
0 votes
0 answers
90 views

Forecasting forward curve using Gaussian Process Regression

I have daily closing prices of crude oil monthly contracts up to 36 months. Some contracts are not very liquid so there are missing prices at random. I stitched together contracts to make them rolling ...
1 vote
2 answers
154 views

How can a future exhibit both normal backwardation and be in contango?

My understanding is that "contango", when describing the forward curve, describes forward prices that are above the current spot price, i.e. $F_{t+1} > F_{t} > S$. This is directly ...
0 votes
0 answers
700 views

Building a forward curve for multiple tenors - Quantlib python

I am attempting to build a forward curve for multiple tenors (1M / 3M / 6M / 12M) using the quantlib library. The input to my model are sofr swaps(1W through 50Y). It appears I am building my curve ...
2 votes
2 answers
156 views

Forward interest rate curve family parametrization

There are many academic sources, books and articles, introducing forward interest rate curve. For example, those authors define $f(\tau)=f(\tau;\beta_0,\beta_1,\beta_2,\lambda)$ as a function of time ...
1 vote
1 answer
323 views

Forward pricing of cashflows with QuantLib - Python

I am building a tool with Quantlib (Python) to work on the forward pricing of different types of assets (inflation linked, amortizing, vanilla, zero coupon bonds). For a number of reasons I am using ...
0 votes
0 answers
67 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 ...
0 votes
0 answers
153 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
1 answer
259 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 ...
1 vote
0 answers
202 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 ...
0 votes
1 answer
982 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, ...
0 votes
0 answers
57 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 ...