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.

Filter by
Sorted by
Tagged with
0 votes
0 answers
29 views

Regarding QuantLib's DiscountCurve

This the first time using QuantLib and I have a naive question. When extracting the discount curve using discount factors and their corresponding dates how does inserting Actual360() and TARGET() ...
user avatar
2 votes
2 answers
772 views

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 ...
user avatar
  • 241
2 votes
0 answers
47 views

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 ...
user avatar
3 votes
1 answer
422 views

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.
user avatar
  • 41
0 votes
0 answers
59 views

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 ...
user avatar
  • 409
0 votes
2 answers
80 views

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. ...
user avatar
0 votes
0 answers
10 views

Intercommodity spreads interest rate futures notional and stdev

If I trade a TUT spread (2 2-y futures and 1 10-y futures) what would be the contract multiplier or notional value of a spread? The 2y has a notional of 200,000 with 1.5% stdev each while the 10y has ...
user avatar
0 votes
0 answers
55 views

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, ...
user avatar
2 votes
1 answer
154 views

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 ...
user avatar
  • 45
0 votes
0 answers
45 views

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 ...
user avatar
0 votes
1 answer
93 views

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 ...
user avatar
  • 1
0 votes
1 answer
61 views

Formula to calculate the sensitivity of a bond to curve steepening

https://github.com/jerryxyx/TreasuryFutureTrading/blob/master/README.pdf On page 2 of the pdf above, the sensitivity of a bond to increases in the slope of the curve, is given as $\ln(T)$, where $T$ ...
user avatar
  • 865
0 votes
0 answers
45 views

Is the ytm curve same as the par curve? [duplicate]

probably a v basic Q, but what is the difference between the ytm curve and the par curve, and given the ytm curve I see in the market how do I build a corresponding par curve
user avatar
  • 169
0 votes
1 answer
97 views

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Given that the price of market risk (or market price of interest rate risk) is $\lambda(r_t, t)=0$ and that we have the following dynamics of the interest rate (under the physical measure $P$. $$dr_t =...
user avatar
  • 339
0 votes
1 answer
81 views

Spot rate dominates the yield to maturity if the yield curve is normal

Let $y_{k}$ denote the yield-to-maturity of a $k$-period coupon bond. Let $S(k)$ denote the $k$-th period spot rate. If $y_{1}<y_{2}<y_{3}<\cdots$, then $S(k)\geq y_{k}$ for all $k\in \mathbb{...
user avatar
0 votes
1 answer
182 views

Principal component analysis on a yield curve

When conducting principal component analysis on the yield curve, PC1 = constant (level shift), PC2 = Slope, PC3 = Curvature. How do you interpret PC>3, e.g. PC 4?
user avatar
0 votes
1 answer
105 views

Can I use spot rates bootstrapped from a swap curve to price a bond?

Say that some corporation has a long position in a fixed rate bond. To turn this into a float-rate asset, they take a fixed paying position in a fixed/float swap. If we are given the par swap curve, ...
user avatar
0 votes
0 answers
69 views

PCA on portfolio depending on multiple time series

There is extensive documentation about PCA on specific time series (for example the UK yield curve). When you have a portfolio which only depends on the change of the UK yield curve then a PCA on the ...
user avatar
  • 303
0 votes
0 answers
33 views

Zero Coupon or yield curve

Where can we see latest zero coupon or yield curve for US treasury securities? On US Treasury website, yields are available for only particular maturities.
user avatar
1 vote
2 answers
155 views

How do you construct a zero coupon curve from the current market yield curve?

If I was to take the current market yield to maturity and tenor for all bonds for a particular issuer how can I convert this curve into a zero-coupon curve? For example if we were to get the yield and ...
user avatar
  • 21
0 votes
0 answers
37 views

Zero curve discount factors/yields to a deposit rate

Here is the example zero curve. I need to get the deposit interest rate based on that. Is it safe to say that the interest rate equals the yield? If not why? What is the best approach? Thanks! Yield ...
user avatar
  • 1
1 vote
0 answers
40 views

Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)

I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves. But most ...
user avatar
  • 113
0 votes
1 answer
96 views

Data on historical, cross-country nominal yield curves

Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI. (I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
user avatar
  • 113
0 votes
1 answer
44 views

IR risk sensitivity to curve instruments

I need to understand if the 2 approaches are equivalent: assume I am constructing a yield curve with N instruments. I would like to compute IR delta for a product using this curve. One approach is to ...
user avatar
  • 365
0 votes
1 answer
183 views

Principal Component Analysis for attributing yield curve changes

I have calculated the Principal components using daily yield curve changes. After calculating these components, i noticed that 98% of the return can be attributed to the first 3 components. How do i ...
user avatar
0 votes
0 answers
132 views

Cross currency basis swaps to build interest rate curves

I was speaking with someone in the market the other day who complained that: "...we always have difficultly building the front end of the curve". He then went on to say that he builds ...
user avatar
0 votes
0 answers
19 views

Standardize YTM's of coupon bonds with different coupon frequencies

In Financial Mathematics for Actuaries by Wai-Sum Chan and Yiu-Kuen Tse, the following formula is given for a $n$-year annual coupon bond with transaction price $P$ where the yield to maturity is $i_Y$...
user avatar
  • 113
0 votes
0 answers
37 views

Building a yield curve out of YTM's with different coupon periodicities

I want to graph a yield curve using the yield to maturity of my bonds. However, my coupon rates have different periodicities. Financial Mathematics for Actuaries by Wai-Sum Chan Yiu-Kuen Tse give the ...
user avatar
  • 113
1 vote
1 answer
159 views

Building a Nelson-Siegel curve

I originally posted this on Mathematics, but was told my question is better suited here. I want to graph a yield curve with an extended version of the Nelson-Siegel-Svensson. I have the issue date, ...
user avatar
  • 113
0 votes
2 answers
107 views

Why do we have daily series of T-bill yields?

I understand that each week the US Treasury issues new T-bills at different maturities (1-month, 3-months, 1-year, etc). As far as I understand, this issuance happens every Tuesday. After the auction, ...
user avatar
2 votes
1 answer
123 views

Advice for automating swap curve construction

Let me start by assuming a simple single curve framework, whereby we take input instruments (mm,fra,futures,swaps etc) and strip out a discount-factor curve. Modern implementations of this are usually ...
user avatar
  • 21
1 vote
0 answers
139 views

Replicating Bloomberg's zero rates bootstrapping

I'm interested in manually replicating the bootstrapping procedure that Bloomberg uses to built ICVS179 (RUB vs MosPrime 3M) curve up to a two years tenor as of October 12th 2021. These are the market ...
user avatar
  • 450
1 vote
0 answers
30 views

Including Exogeneous variables in short rate models

I am trying to use short rate models (e.g. Vasicek, CIR or Hull-White) to forecast next one or two months yield curve. In this context, is there a way that I can include some exogenous economic or ...
user avatar
  • 11
0 votes
1 answer
179 views

How to measure Steepener/Flattener/Butterfly sensitivity? (in 01)

This seems like a simple concept but I'm a bit lost. How can I calculate the dollar value sensitivity for a yield curve slope or butterfly position? I understand how DV01 can be calculated, but it ...
user avatar
3 votes
2 answers
264 views

How to minimize Nelson-Siegel parametric form

Problem I am given the following function to minimize (w.r.t. $\theta$) $$f= \sum_{k=1}^5 \Big [ \sum_{i=1}^{N_k} CF_{k, i} \cdot e^{-r(t_{k, i}, \theta)\cdot t_{k, i}} - P_k^* \Big]^2$$ where $\...
user avatar
2 votes
0 answers
59 views

Yield to maturity of amortized bond

I have an amortized bond with maturity at 30.04.2023, a semiannual frequency, 10% coupon rate, 30Е/360 day convention, and a clean price of 104.9367. Also, there are two amortization payments: 300 at ...
user avatar
  • 183
0 votes
0 answers
65 views

Hull-White model for yield curve prediction

I am using the Hull-White model (extended version of Vasicek) to predict Canadian zero-coupon bond yield curves. Most of the time the model does a pretty good job of fitting the real curve in terms of ...
user avatar
0 votes
1 answer
123 views

which market instruments are used to strip the SOFR curve under 1 year?

which instruments are used to strip the SOFR curve for the short term of the curve(below 1 y) ? there are no swaps with maturity under 1 year, right? thanks
user avatar
0 votes
0 answers
31 views

QuantLib C++: Extract RateHelpers from PiecewiseYieldCurve

Is there any way to extract RateHelpers that are used to build the PiecewiseYieldCurve in QuantLib? More specifically, I would like to know whether there is a way to obtain the instruments that are ...
user avatar
-1 votes
1 answer
82 views

Yield curve steepening/flattening using different duration treasury futures (TUT Spread) and volatility

Yield curve steepening: long 2 contracts 2 year (2 contracts due to contract size), short 1 contract 10 year Vice versa for flattening. If the 2 year note has a expected volatility of 2% per contract (...
user avatar
  • 13
0 votes
0 answers
55 views

How the swap curve moves if fed fund rate decrease?

I am currently reading the book "Interest Rate Swap and other Derivatives by Howard Corb", in Chapter 8.2 Curve Trades, it mentioned: "Investors believes Fed is going to lowering the ...
user avatar
  • 111
0 votes
1 answer
69 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 ...
user avatar
  • 111
1 vote
1 answer
86 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 ...
user avatar
  • 111
0 votes
2 answers
129 views

Generating a PAR curve from Bond Price Inputs

I am a brand new user to QuantLib and I am running it in Python. I am attempting to generate a PAR yield curve from time to maturity and price input as shown here 'time to maturity': ['30-03-2020','...
user avatar
0 votes
0 answers
128 views

What is the correct way to build a full swaps curve using discount factor interpolation?

I want to keep this as high-level as possible so that the rest can be figured out, but we will use DF log-cubic interpolation. (Convert rates curve to discount factor curve, interpolate this using log-...
user avatar
  • 407
0 votes
1 answer
180 views

Constructing a USD LIBOR curve

USD_LIBOR rates are only published up to 12 months. how would you approach constructing the curve to at least a 30-year tenor, to price for example an interest rate swap. I have heard that swaps can ...
user avatar
  • 39
-1 votes
1 answer
163 views

How to value a long term interest rate swap if the floating leg is USD-LIBOR

To value an IRS, you require a spot/zero curve. If I am correct this zero curve will be the USD-LIBOR curve. However, if you have e.g. a 10-year swap that you are trying to value 2 months into the ...
user avatar
  • 39
0 votes
1 answer
341 views

Zero Rates for Deposits using Quantlib Python

I have used QuantLib Python to construct a zero curve from deposits and bonds. Below are my codes: ...
user avatar
1 vote
0 answers
70 views

How to obtain the discount curve under Vasicek interest rate for discounting cash flow?

Suppose that the spot rate is governed by a Vasicek model. We know that there is an analytical solution for the zero-coupon bond. I guess the discount curve is constructed by the Yield curve in which ...
user avatar
  • 409
0 votes
1 answer
125 views

Bootstrapping semi annual bond

I have a bond that pays out semi-annually. The coupon is 0.14, which means it pays 0.7 after 6 months, and then 100.7 after another 6 months. I need to find the discount factors by bootstrapping. Is ...
user avatar

1
2 3 4 5
7