All Questions
Tagged with interest-rate-swap bootstrapping
18 questions
6
votes
1
answer
6k
views
What is Dual Curve Bootstrapping? And how to do it, with an example?
I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve.
I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear words).
...
CommunityBot
- 1
2
votes
0
answers
4k
views
How Bloomberg calculates discount rates for zero rate curves?
I would like to ask about discount rates calculation algorithm by Bloomberg terminal.
In the image above is possible to notice the discount rate for each term. The short end, instruments from 1 DY up ...
0
votes
0
answers
206
views
Annualizing the pay frequency of underlying swaps when bootstrapping the zero curve?
Say I'm looking to bootstrap two zero curves based on two swap curves with different underlying currencies and, consequently, two different pay structures in the swap contracts. For example, say I ...
- 11
0
votes
1
answer
329
views
How to resampling the risk of a specific tenor on a interest rate curve without replace the instrument?
For example, suppose we have an interest rate curve bootstrapped from multiple instruments, at the short end, we used eurodollar future (up to 2Y), at the longer end, we used interest rate swap (3Y to ...
- 7,140
0
votes
1
answer
3k
views
Pricing IRS: bootstrapping zero rate (spot rate) from the swap curve
I would like to ask about swap zero curve calculation algorithm used by Bloomberg. Below is a plain vanilla EUR IRS. I want to calculate >= 2 year spot rates from the market rates. I don't know how to ...
1
vote
0
answers
679
views
Bootstrapping EURIBOR curve
I’m trying to bootstrap a 1m, 3m and 6m euribor curve.
The data I’m using is 3m Euribor swaps, 1m/3m basis spreads and 3m/6m basis spreads. I’ve successfully used quantlib to bootstrap a 3m curve but ...
- 11
0
votes
0
answers
233
views
OIS Floating Leg Value at Swap Start with OIS discounting with payment lag
Is it safe/OK/acceptable to assume that $PV_{float}=1$ at on a Swap that projects and discount with the same OIS index, at starting date, if payments are done with a 2D lag i.e. $t_{pay} = t_{...
0
votes
0
answers
643
views
Bootstrapping Swap Curve
I am trying to get the zero rates from the swap curve for chilean pesos (vs Camara). I tried this code (from a previuos question similar to mine from other person) and I am very close to get the ...
2
votes
1
answer
378
views
Bootstrapping spot rates based on swap rates using QuantLib
I am bootstrapping the shibor curve and fr007 curve using swap rates in China. I created my own index like following:
...
- 5,895
0
votes
1
answer
861
views
LIBOR Curve bootstrapping and compounding
I am currently reading about swap pricing based on using the LIBOR curve to calculate spot rates, forward rates, and discount rates. From what I understand LIBOR is quoted as a simple interest rate ...
- 861
2
votes
0
answers
249
views
Basic question on Plain Vanilla Interest Rate Swap pricing
I'm new to quant and would like to understand on pricing AUD Plain Vanilla Interest Rate Swap. In post/article/book often explain for long end, we use SWAP RATE that are observed in market. But I'm ...
- 21
0
votes
1
answer
3k
views
Bootstrapping the spot curve based on swaps
I am struggling to understand bootstrapping the spot curve based on euroswaps. These contracts have a fixed leg paying an annual rate and a variable leg paying either euribor 3m 4 times a year or ...
- 31
0
votes
1
answer
3k
views
Bootstrap daily OIS forward rate
Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap?
For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
CommunityBot
- 1
2
votes
2
answers
672
views
Transform a 3M FRA Rate to a 6M FRA Rate
I have a question whether it is possible to transform 3M FRA rates to 6M FRA rates without having any spreads available. Let's give an example:
FRA 3M:
FRA 1x4
FRA 2x5
FRA 3x6
FRA 4x7
FRA 5x8
FRA ...
- 12.1k
1
vote
1
answer
758
views
Bootstrapping Quantlib RateHelper Python/C++ [closed]
I am pretty new in the Quant areaa and using Quantlib. I found the pretty good introductions concerning bootstrapping in the book QuantLib Python Cookbook by Luigi Ballabio. I wanted to understand the ...
- 8,008
1
vote
1
answer
280
views
One week LIBOR?
Are there any commonly traded instruments that would allow one to bootstrap a one week LIBOR curve?
If not, is there some alternate way to value forward starting swaps with a short first period that ...
- 17.9k
2
votes
1
answer
238
views
Determining discount factors for non-standard maturities
Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...
- 17.9k
2
votes
2
answers
749
views
forward space vs zero space in finance jargon
Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ?
where does one start from when trying to dig into the meaning of this?
Thanks in advance.
- 2,197