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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Yield Curve Flattening Trade
Relatively simple question, but came upon it in class and have not been able to come up with an answer:
The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
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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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Converting US Treasury CMT to Discount Yields
I'd like to convert the US Treasury Constant Maturity series (par, semi-annual coupon, Actual/365 daycount convention) into Discount Factors (for appropriate comparison for certain money-market series,...
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Convert US Treasury par yields to spot rates
I'm devising a methodology to transform par yield to spot rates, I'd like to stick with pure python as much as possible so not really after Quantlib (or other libraries) examples.
In particular I want ...
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Quantlib Bond yield jump on front end of the curve
I'm trying to build up a US treasury curves using Bills and bonds with the FixedRateBond class, however when I compared the ParYield from .bondYield() and zero_rate from yield curve instance.
The ...
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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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Can I use Nielson Siegel to 'interpolate' par yield
The NS model initially set a parametric form for forwards and we can get equivalent zero rates. If I have a few par yields, can I simply fit the par yields to the NS form or the NS form of the zero ...
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True or false: roll-down return is negative when a bond is trading at a premium
These three sources all say that the bond roll-down effect is negative if the bond is trading at a premium:
https://www.investopedia.com/terms/r/rolldownreturn.asp
https://corporatefinanceinstitute....
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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 ...
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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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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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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 ...
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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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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{...
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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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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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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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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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How does one calculate carry-roll-down theoretically assuming expectations of short-term rates are realised
I am not asking for an explanation that is hugely quantitative, but rather one that is more intuitive.
I am aware that there are different assumptions that one could take when it comes to carry-roll-...
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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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Why does the coupon effect mean that higher yields do not necessarily mean that a bond is more attractive?
In Tuckman, it says "The fact that fairly priced bonds of the same maturity but different coupons have different yields-to-maturity is called the coupon effect. The implication of this effect is ...
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Factor loadings in Nelson-Siegel model
The Nelson-Siegel model has the following form
$y(\tau)={}_{1}X+{}_{2}X\frac{1-e^{-\lambda{\tau}}}{{\lambda{\tau}}}+{}_{3}X\left ( \frac{1-e^{-\lambda{\tau}}}{{\lambda{\tau}}}-e^{-\lambda{\tau}} \...
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Onshore vs offshore curve construction
Can anyone guide me to links or literature regarding onshore vs offshore curve construction?
What kind of instruments do you use?
Take for CNH (offshore) (vs) CNY (onshore curves) for example:
For CNY ...
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pricing in the case where payment currency and collateral currency are different?
I'm asking for the curve construction of the discount curve in the case where payment currency and collateral currency are different.
If I refer to BBG, in the case of a USD swap collateralized in EUR,...
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Parameters in Nelson-Siegel model and Nelson-Siegel-Svensson model
I am trying to determine the parameters for the Nelson Siegel and Nelson Siegel Svensson model and try to solve
SE=$\sum_{i=1}^{n_{i}}(y_{t_{i}}-\hat{y}_{t_{i}}(X))^{2}$
where $y_{t_{i}}$ denotes the ...
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How do I hedge yield spread?
We'd like to offer a product in which a notional amount $(N)$ is given, and the underlying is spread $(s)$ defined as, say, 30Y yield minus 10Y yield (both from treasury YTM yield curve). At the end ...
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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 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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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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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 ...
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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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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, ...
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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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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).
...
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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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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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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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