Questions tagged [yield-curve]
A yield curve is a plot of yields for various bonds (often government bonds) versus the bonds' maturities. We also often plot swap and other LIBOR rates to get the (related) swap curve.
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swap carry/rolldown mid-period
Pretty much all discussions and examples I have seen discussing carry and roll down for fix-flt interest rate swaps are ones where the forward date coincides with the coupon dates on both legs.
It ...
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Curve optimization to predict monetary policy path (OIS Curve)
This is a question about a relatively undeveloped market (Chile) in which Camara the O/N rate is daily compounded (OIS Curve).
The available instruments in the market are short term rates ie 1m 2m 3m ...
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Dynamic Nelson-Siegel model with time-varying scale factor lambda: how to ensure the non-negativity of the state variable?
I'm trying to estimate a Dynamic Nelson-Siegel-Svensson (DNSS) model with time-varying scale factors lambda_{1} and lambda_{2}. I am therefore estimating the lambdas as state variables (same as the ...
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Overlay Analysis of US Yield Curve
Let's define the US yield curve as the O/N fed funds rate, then the on the run 2/3/5/7/10/20/30y us treasury notes and bonds, represented by their yield to maturity as of today T.
What I am trying to ...
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Apply monotone convex interpolation to swap rate input data
I'm trying to apply Hagan & West's monotone convex interpolation to a 6m EURIBOR (forward) curve using ESTR (already bootstrapped) for discounting.
In their paper Hagan & West use discrete ...
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Recommended books/resources for IRRBB risk metrics calculation
Any recommendations for books/resources/videos/on-demand courses for in-depth IRRBB-related risk metrics calculation etc?
Yield Curve Risk, Basis Risk, Repricing Risk, Optionality Risk, Value at Risk, ...
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Zero Curve Interpolation Does Not recover Node point input rates
I having an issue with interpolation in QuantLib Python. Please see the code below for a minimum working example
...
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building an em fx forward curve with forward spreads
Like the title suggests, I'm trying to build a forward curve for exchange rates in USD/em currencies. I have certain forward points already, but they're in spreads and ideally, I'd like to construct ...
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Different maturities but same tenor to obtain the yield
My question is in regards to obtaining the yield of a specific tenor at any date (for example, when constructing the yield curve). For example, when calculating the yield for a specific zero-coupon (...
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QuantLib Yield Curve Bootstrapping Fails with Bracketing Error
I'm trying to build the yield curve simply using Treasury yields one would get by querying the FRED API, but as my code below will show, I'm told on the 1st iteration that there was failure at the 4th ...
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What does volatility process mean and how is it different from volatility?
I have been reading the paper "Bridging P-Q Modeling Divide with Factor HJM Modeling Framework" by Lyashenko and Goncharov (2022). On Equation 5 of page 4 of the paper, I came across the ...
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How do I obtain the RMSE from a QuantLib curve estimation?
I'm estimating yield curves in Python using the QuantLib package and the included Nelson Siegel, Svensson, specifications. I can get the estimated parameters, but I would like to see a measure of the ...
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BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve
I struggle to understand why my market rates does not match my bootstrap model. So I wonder why the spread is that high between market & model.
...
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Onshore vs offshore curve construction
Can anyone guide me to links or literature regarding onshore vs offshore curve construction?
What kind of instruments do you use?
Take for CNH (offshore) (vs) CNY (onshore curves) for example:
For CNY ...
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Parameters in Nelson-Siegel model and Nelson-Siegel-Svensson model
I am trying to determine the parameters for the Nelson Siegel and Nelson Siegel Svensson model and try to solve
SE=$\sum_{i=1}^{n_{i}}(y_{t_{i}}-\hat{y}_{t_{i}}(X))^{2}$
where $y_{t_{i}}$ denotes the ...
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Factor loadings in Nelson-Siegel model
The Nelson-Siegel model has the following form
$y(\tau)={}_{1}X+{}_{2}X\frac{1-e^{-\lambda{\tau}}}{{\lambda{\tau}}}+{}_{3}X\left ( \frac{1-e^{-\lambda{\tau}}}{{\lambda{\tau}}}-e^{-\lambda{\tau}} \...
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Mean level of the state variables under the risk-neutral measure in Arbitrage-free Nelson Siegel
I do not understand why mean levels of the state variables under the risk-neutral measure, $\theta^{\mathbb{Q}}$, in Arbitrage-free Nelson-Siegel is set to zero. It should follow from the following ...
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How to calculate the discount factors for two deposits in an interest rate curve [closed]
I am trying to calculate the zero rate for a piecewise linear zero curve. I have the following deposit on the short end
STIBOR 1D, is identified as a tomorrow next deposit: 0.02416
STIBOR 3 Month: 0....
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QuantLib: How to bootstrap Yield Curve using 3M futures - Python
I need to bootstrap a yieldcurve with 3M futures, using a cubic spline if possible.
Using, for example 3M Euribor, how do I bootstrap the yield curve using python?
I have a vector of dates and a ...
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FX Reset in MTM Xccy Swap - Curves & Collateralization
Background
Suppose I look into a EUR-vs-JPY Cross Currency Basis Swap with MTM feature (i.e., including quarterly resetting notional on one of the two legs). Cashflows are projected off the ESTR & ...
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pricing in the case where payment currency and collateral currency are different?
I'm asking for the curve construction of the discount curve in the case where payment currency and collateral currency are different.
If I refer to BBG, in the case of a USD swap collateralized in EUR,...
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Quantlib interpolated zero rates not as expected
I have created a piecewise linear zero curve using quantlib (c++). It's a NACA, modifiedFollowing swap curve. When I extract the zero rates on the pillar dates the rates line up with what is expected ...
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YTMs of Ukrainian Bonds are much greater than published yield curve suggests
I noticed that the yields to maturity of Ukrainian government bonds seem to be much greater (multiple times greater in some cases) than the avaialible yield curves suggest, and I'm trying to ...
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Quantlib t bills price using DepositRateHelper or FixedRateBondHelper
EDIT:
I edit my question, as I didn't get any answers,
my previous question was why in the python quantlib cookbook we see 2 different approaches for t bills 1. example using DepositRateHelper and 2. ...
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Risk-free yield curve creation for Euro
I'm working on a Interes Rate Risk in Banking Book model for EVE calculation. It doesn't matter if you know what it is or not, I just need help with one step. That step is the creation of risk free ...
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Discount factors curve shapes
I have 2 discount factor curves;
DF 1
I expected every DF curve to have the shape of the 2nd one (almost a straight line), what does it mean economically when a DF curve has the shape of the 1st one? ...
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Quantlib Build a yield curve with 2 day conventions
I am following the example below;
build a yield curve using tbills(deposit rates) and bonds,
in the final step yield curve is built using deposit and bond helpers,
but in the case where I have ...
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Construct yield curve using bonds and bills or bonds only? [closed]
I have:
3M,6M,1Y,2Y,3Y....bonds
1W,2W,1M,2M,3M.... bills
To build the yield curve what is better:
build a single curve using bonds+bills
build 2 separate yield curves, 1 to price bonds made out of ...
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Eikon Government Benchmark Yield Curve
I want to price gov bonds using Bid Yields (column 5) from the screen below, and quantlib.
I am not sure what those Bid Yield rates represent.
Do those Bid yields represent spot rates, or what?
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Typo in Wilmott's Forward rate formula?
I am going through the 2nd edition of Paul Wilmott on Quantitative Finance, and came across the following,
Shouldn't the last equality be
$$
F(t;T) = y(t;T) + \color{red}{(T-t)}\frac{\partial y}{\...
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government bond yields - source to download from [duplicate]
Is there a source from where I can directly download gov. bond yields of different countries?
I don't want to search one by one country using different sources,Im looking for a website that publishes ...
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How to correctly trade/price a x-mkt "Yield Curve "Box" " Trade? From Risk Weight onward
I see a lot of discussion/commentary of 2s10s box trades? Typically a US-CDA 2s10s trade.
I understand that the fundamental concept is a flattener in 1 jurisdiction and a steepener in another. Meaning,...
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Use of interest rate swaps in liability-driven investing
You probably have home across recent events in the UK bond markets. The Financial Times article "The reason the BoE is buying long gilts: an LDI blow-up" from Sep. 28, 2022 goes through why ...
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Pricing a bond denominated in USD but issued in Europe
I need to price a USD bond using yield-to-maturity from the yield curve (YC). The bond is issued by a German company.
My question is what yield curve should I use: the US Treasury YC or the EUR YC of ...
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How does Bloomberg bootstrap CASH Instruments?
Given the following datas :
If we do the bootstrap methodology for CASH Instrument we gotta :
Calculate the DF associated to the Market Quoted Rate (2.91157). For the 3M Fixing we have :
T = 0.26115.
...
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How would you build a yield curve for a cryptocurrency with only a perpetual futures market?
Assuming that hourly/daily funding rates are autocorrelated and revert to a long term mean, then perhaps the following would work:
Use the average of the last N day funding rate as as predictor of the ...
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How to use simplex method for initial estimates of parameters in Nelson-Siegel-Svensson
I came across a BIS note about the estimation of the Nelson-Siegel-Svensson method. Currently, I'm trying to implement this. However, one step is not fully clear to me. Let me outline the steps of the ...
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Interpreting SOFR OIS Curve from CME
I have a doubt regarding the daily SOFR OIS Curve published by CME.
https://www.cmegroup.com/trading/interest-rates/cleared-otc-sofr-swaps.html#sofroiscurve
If we refer to the curve dated 22 Jul 2022.....
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Why is carry divided by DV01 to scale it?
If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg.
When I read this on Page 2:
https://corporate.nordea.com/api/...
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Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping
Having the following UST Active Curve :
Tenor
Tenor ticker
bid_yield
Coupon
1M
912796XM Govt
1.891
0
2M
912796XV Govt
2.225
0
3M
912796V6 Govt
2.52
0
6M
912796XS Govt
3.026
0
1Y
912796XQ Govt
3....
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Graeme West's VBA code Monotone Convex
Can somebody post Graeme West's VBA code for monotone convex interpolation if you have? I was struggling to find it.
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Why Fed Funds Rate's is higher than U.S. treasury yield on the short term (< 2M)
The current Fed Funds Rate is 1.75% whereas the 1 Month Treasury Rate is at 1.28%. I would have expected the Fed Funds Rate to be lower than Treasury rate on short maturities, what is the reason of ...
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Term premium with daily vs monthly time series
I have estimated the term premium for the Polish Government Bonds (POLGBs) using the methods described by Adrian et al. (2013) (often referred to as ACM). The underlying yields are interpolated from ...
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Why the 3M Zero Rate is not equal to the 3M Cash Rate? On Bloomberg yield curve bootstrapping
Can someone explain to me why the 3M Zero Rate is not equal to the 3M Cash Rate?
Thanks.
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short rate, yield curve and zero-coupon bond price formula under CIR mode: How to calibrate the market price of risk
I recently read a document posted by a user in QF, who said that "In the past, I have calibrated simple short rate models to the term structure by using maximum likelihood to get the parameters ...
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Quantlib yield curve - zerorate output differs from expectation
I was creating an yield curve using zeroRate, when I read back the value from the created yield curve - it differs from expectation.
...
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Treasury futures and the TUT spread historical volatility
I'm doing a study at Rutgers on the TUT spread. The TUT spread is composed of 2 2-year treasuries and 1 10-year treasury per spread. I was trying to estimate the historical volatility of the spread, ...
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Yield curve bootstrapping: direct market rates vs discount factors interpolation
From my understanding, there are (most generally speaking) two approaches for bootstrapping the yield curve (with an exact method). We can either interpolate between the market quotes (interbank ...
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Question from Duffie and Kan (1996)
Going through Duffie and Kan (1996) I came up with a question.
After Eq. $(3.4)$ the claim the following:
By $(2.4)$, we also know that $\mathcal{D} F (X_t, t) - R(X_t) F(X_t, t) = 0$. Since $F$ is ...
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Yield curve PCA: levels or daily moves?
I have tried using both yield curve levels as well as daily moves (absolute change) while doing PCA. Using both types of input/dataset gives me roughly the same shape in terms of principal components ...
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