# 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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### 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 ...
61 views

### Double interpolation continuity

I am trying to use double interpolation(linear and forward quartic) but the interpolator is the zero coupon so at each time i need to convert the instantaneous forward rate to zc my problem is at the ...
1 vote
115 views

### Does PCA for yield curve has any tangible value?

I am aware of an abundant literature on Principal Component Analysis (PCA) application for yield curves. All of these papers to me look merely a statistics-oriented results. Most of the papers argue ...
53 views

### Yield to Maturity (YTM) to Zero Coupon Yield Curve (ZCYC) Forward Rate and Discount Factor mismatch in QuantLib

I have a set of YTM data for various tenors, and I'm constructing a ZCYC using the QuantLib library. However, when I calculate the forward rates and discount factors from the ZCYC and compare them ...
18 views

### Construct DeFi yield curve

I was wondering if anyone knows how to construct a yield curve for cryptocurrencies (for yTokens like yDAI and yETH for example). It'd be best if yield curves could be dynamic (though I think it could ...
318 views

### 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 ...
357 views

### 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,...
105 views

### Shape of Yield curve of ZCB under no-arbitrage

Sorry if the question is somewhat elementary, but I have thought about it for a while and I cannot figure out where my mistake is. Suppose we are in are in an arbitrage-free market in which risk-free ...
40 views

### Interpolation by central bank cometee meeting dates

I want to have an interpolation, to the yield curve, In the term up to a year, the forward daily curves will be the same between central bank cometee meeting dates (to be precice, the implemantation ...
755 views

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 ...
6k views

### Par and Zero Coupon Yield Curves

The government par yield curve shows a marginally lower yield than the Government zero coupon curve. What is the reason for this in general.
1 vote
1k views

### 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. ...
104 views

### Cubic Spline Interpolation partial derivative to the point

Still didn't figure out this, so looking for some help, kindly apppreciated. By this blog https://blog.timodenk.com/cubic-spline-interpolation/index.html, the piecewise cubic spline interpolation is ...
1 vote
155 views

### Yield curve and bond price

I am confused about how the yield curve is built and how it relates to the pricing of bonds. First what I don't understand is that when people talk about the yield curve, which yield curve are they ...
1k views

### Construct a butterfly interest rate portfolio to eliminate PCA exposures

I have data from 2012 to 2016 for interest rates whose term range from 2 month to 30 years, a total of 10 Principal components can be calculated. Then I want to construct a portfolio, WFLY = w_1 *5Y ...
1 vote
139 views

### Explicit step by step curve construction using FRAs

I'm trying to understand a step by step process of building curve from the instruments to the final result, particularly how overlapped FRAs are used. i'm trying to build this in excel so I have a ...
1 vote
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### How to compute discount factor from yield curve when there are two daycounts in play?

Let's say I have a yield curve, i.e. a series of times $t_1, ..., t_n$ and associated rates $r_{t_1}, ..., r_{t_n}$, such that my discount factors are $DF_{t_i} = (1+r_{t_i})^{(-t_i)}$. The curve has ...
82 views

I struggling to get why in bootstrapping I need to divide the YTM by 2 (for semiannual coupons) and not adjust the power for the semiannual period. Please see below example. Consider two bonds with a ...
34 views

### Relationship Between the Equity Funding Curve and Equity Forward Curve

am trying to understand the core concepts of Equity Forwards Curve, Funding Curve and yield Curves (most sources online seem to focus on Interest rate related examples, so any sources for equity ...
147 views

### Relationship of par-curve and zero-curve/spot-curve

I've been trying to bootstrap the zero-curve from a swap curve composed of ESTR OIS swaps. Theory says when the par-curve is upward sloping, the zero-curve will be above the par-curve and vice-versa. ...
49 views

### Why isn't the volatility version of the Nelson-Siegel model in the same shape as the original yield model?

If we compare the form of the original model: https://edisciplinas.usp.br/pluginfile.php/3180059/mod_resource/content/0/Nelson%2C%20Siegel%20%281987%29%20-%20Parsimonious%20Modeling%20of%20Yield%...
47 views

### Benchmark Treasury Curve Data

I want to calibrate US treasury bonds to get a benchmark curve as an exercise. I know that choice of bonds may be discretionary. But can you point me to any good public data source where I can get ...
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### How Zero Discount factors are calculated in Oracle and Wellstreetprep?

I've some inquiries that may be naive related to ZDF. I have got a look at those two resources for zero discount factors: Oracle - Zero Discount Factors Wallstreetprep - Discount Factor ...
219 views

### Bootstrapping the zero-curve/spot-curve from incomplete swap curve par-rates

TL;DR: I have an incomplete set of swap rates and want to bootstrap the zero-rate curve, what can I do? I'm trying to construct a spot-rate/zero-rate curve from a swap curve (i.e. par-rate quotes) ...
165 views

### Mathematical meaning of an inverted yield curve

I am currently working on rates model. I would like to understand, mathematically, what does it mean to have an inverted yield curve? And I am asking myself for a certain model, how can I generate an ...
1 vote
31 views

### Multiple factor Hull-While and yield curve deformation

I am currently studying rate models and I understand that the One-Factor model has some incompleteness: The yield-curve can only be shifted. But I don’t understand what parameter controls this shift ( ...
126 views

### Methods for Constructing a Yield Curve

I wonder if the Raw interpolation (known as linear on the log of discount factors) can handle negative interest rate due to the inverted yield curve? I understand using the linear on log of rates and ...
37 views

### Liquidity Preference Hypothesis and Yield Curve

Unlike under the Expectation Hypothesis (for which the forwards are perfect predictors of the expected short rates), for the LPH forward=expected short rates + LP and consequently the expected short ...
91 views

1 vote
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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 ...
204 views

### 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 ...
1 vote
415 views

### 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 (...