Questions tagged [forward-curve]

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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 ...
Novice's user avatar
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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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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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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 ...
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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 ...
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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 ...
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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 ...
dummy_quant's user avatar
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How to calculate forward swap curves for different tenors using QuantLib in python

I am interested in calculating the forward curve for different swap tenors. I have the below code in Python, but I believe that this only calculates the forward discount curve. Are we able to modify ...
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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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CME Metals Settlement methodology

I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: For ...
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