All Questions
4 questions
0
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329
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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 ...
- 133
0
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1
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3k
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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 ...
- 3
0
votes
1
answer
861
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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 ...
- 389
2
votes
1
answer
237
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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 ...
- 989