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.
353
questions
0
votes
2
answers
75
views
Hypothetical yield for a government perpetuity
I understand that with interpolation or bootstrapping one can determine spot rates given other spot rates, however how would you go about establishing what a hypothetical perpetual bond issued by, say,...
- 23
0
votes
3
answers
474
views
How does the term premium of the 10y20y Treasury forward rate relate to the 30y rate?
I'm reading recent research on Treasuries and to paraphrase, it says that long term 10y20y Treasury forward rates now have a positive term premium over the long run nominal funds rate (neutral rate).
...
- 51
1
vote
2
answers
6k
views
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-...
- 51
0
votes
1
answer
296
views
Calculate zero recovery discount curve from bond yields and cds prices?
Clarifying the below:
Given the prices of bonds that are not trading in distress as yet (so yields are meaningful), and data on the CDS spreads, I’ve been looking for some approaches for estimating a ...
1
vote
3
answers
1k
views
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 ...
- 51
2
votes
1
answer
353
views
Negative Carry when Yield Curve is Downward Sloping
I am currently reading "The Treasury Bond Basis", and have a question regarding negative carry. The book states that the carry of a vanilla treasury bond will be negative when the yield ...
- 81
0
votes
1
answer
77
views
Relationship Between Yield Curve and STRIP Prices
Suppose at different maturities (e.g., 1 year from now, 2 years from now, 3 years from now, etc.), the price of a STRIP security is consistently decreasing as the maturity increases all else held ...
- 103
1
vote
0
answers
75
views
Quantlib Yield Curve given spot and forward rate
Is it possible to create a yield curve, given the spot rate and the forward rate?
- 11
4
votes
3
answers
529
views
Nelson Siegel Model calculation of the zero bound price at time zero that expires in 2 years
I am somewhat stuck and not sure how to proceed, so any help would be appreciated.
I got the Nelson Siegel model with all parameters for the real data. The curve that is produced is yield vs maturity. ...
- 41
0
votes
2
answers
188
views
Meaning/importance of "yields" (bonds) [closed]
After reading many articles on bond yields (yield-to-maturity) I'm still not getting what they are used for by investors. I understand the math behind its evaluation, but, say, what exactly I can tell ...
- 179
0
votes
0
answers
79
views
I am looking to bootstrap a USD and GBP yield curve: what are some of the futures and swaps I can use that are findable on Bloomberg?
Getting overnight-to-12 month LIBOR on Bloomberg is easy.
Had difficulty finding GBP futures (range of maturities) on Bloomberg. Any tips (both USD and GBP)?
Swaps (maturities all the way to 30 years) ...
0
votes
1
answer
298
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,...
- 617
4
votes
1
answer
2k
views
How to compute par yield from zero rate curve?
How does one calculate the below two-year par yield given the zero rate curve:
Assume the following two-year zero rate curve, with continuous compounding:
...
- 157
2
votes
0
answers
279
views
How to optimise Fixed Income portfolio (Yieldbook) based on YTM, duration, rating and exchange rate
I have a fixed income portfolio built up in the Yieldbook and BBG Port.
However due to some bad performance of my portfolio compared to the benchmark I would like to build up an optimisation which ...
- 326
0
votes
1
answer
135
views
Which curve is better to approximate bond yields (python)
I would like to approximate bond yields in python. But the question arose which curve describes this better?
...
- 195
2
votes
1
answer
176
views
Choosing which interest rate model to go with?
I've been assigned with the task of modelling zero rate curve. I did it with two models: Vasicek and CIR. Looking at the two curves produced, I can see that one is closer to the observed curve than ...
- 33
4
votes
2
answers
3k
views
Swap curve construction
I am new to this area so my question might be basic to many but please answer.
For valuing interest rate swaps how will we define which curve to take, like sometimes we use usd 3m curve, or usd 3mv 6m ...
- 115
5
votes
1
answer
1k
views
Bootstrap with QuantLib: Fair Swap or zero NPV
In all brevity
What is the termination condition used in QuantLib's curve bootstrapping?
Can I modify this setup to my needs, e.g. can I tune this to a higher accuracy?
Background
When bootstrapping ...
- 6,425
1
vote
2
answers
1k
views
How to find OIS discounting factors from OIS swap rates. Please explain with example
Suppose I have the following OIS Swap rates:
1 year OIS Swap: 0.36%
2 year OIS Swap: 0.37%
3 year OIS Swap: 0.38%
4 year OIS Swap: 0.40%
From these, how do I get the OIS Discounting factors for ...
1
vote
1
answer
602
views
How to do simultaneous dual curve bootstrapping?
I wish to understand how dual curve bootstrapping is done?
Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates ...
4
votes
1
answer
4k
views
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).
...
0
votes
2
answers
93
views
Value of a 30 year bond using the Yield curve
If I buy a $1 30 year bond with 4% coupon payment, would my cash flow be:
$$
V^{30}(t) = \frac{$1 \times0.04}{1 + R(t, 1)} + \frac{$1 \times0.04}{1 + R(t, 2)} + \cdots
+ \frac{$1 + $1 \times0.04}{1 + ...
- 452
2
votes
1
answer
89
views
yield curve basics
Suppose we observe the following term structure (of annualised spot rates):
0-3 Months $\rightarrow$ 4.0%.
0-6 Months $\rightarrow$ 4.2%.
0-9 Months $\rightarrow$ 4.4%.
Question1) How can we ...
1
vote
0
answers
86
views
Risk-Neutral covariance matrix of arbitrage-free Nelson Siegel
For my thesis on a Bayesian sampling routine for a modification on arbitrage-free Nelson-Siegel I came across an equation that involves a matrix exponential within an integral, i.e.
$\int_{0}^{\Delta ...
0
votes
0
answers
64
views
USD MultiCurve Calibration - IOER vs. OIS/Fed Funds
I'm building out a calibrated USD MultiCurve set, focusing on Fed Funds & 3M LIBOR for the purpose of trading in Fed Funds Futures and Eurodollar Futures (for now ...).
I had always assumed that ...
- 617
0
votes
0
answers
75
views
In the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? [duplicate]
I am a newbie to fixed income quant side and I am trying to understand in the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry?
...
- 33
1
vote
0
answers
851
views
Calibrating Vasicek model for historical data
I need to to estimate the parameters of vasicek model to predict the zero curve.
My database has 4k daily observations of zero rate for 37 maturities. My question is do I have to estimate the model ...
- 33
2
votes
0
answers
56
views
Par rates, zero rates and forward rates curves in swaps
I'm new to the concept of swaps, I'm having hard time understanding what each curve relationship with a swap derivative traded in the market. Can someone please explain this? Thank you.
- 616
3
votes
0
answers
224
views
Dual curve construction
I'm new to curve construction for swaps pricing concept and I am having hard time to understand dual curve construction and what difference it from single curve ? how do we construct it ? can someone ...
- 616
1
vote
1
answer
614
views
Interpolation for discount curve building QuantLib for bonds
I'm trying to figure out how to build a discount curve to price bonds from spot rates using some advance interpolation methods like PiecewiseLogCubicDiscount. I know I can build this curve with ...
- 149
1
vote
1
answer
190
views
Question with regards to fitting the yield curve with the Nelson.Siegel function from the YieldCurve package in R
I have the following data:
...
- 175
-1
votes
1
answer
444
views
project curve spot risk (PV01) into forward risk (PV01)
is there a (simplistic?) formula to convert spot risk PV01 into the forward risk PV01?
For example, if I have a
a) PV01 spot risk : 1yr = 100k/bp, 2yr = 50k/bp, 3yr = 25k/bp
b) how can I project ...
- 622
0
votes
2
answers
455
views
Extrapolation between today and the spot date curve building
I'm trying to build my libor curve using (Deposit, FRAs and Swap) instruments with the goal that my curve match the murex curve, my parameters are :
My today date is : 23/10/2019
Start of my deposit ...
- 616
3
votes
1
answer
674
views
3M curve vs 6M Curve, which one to use for valuation of IR Derivatrives
Sorry, this might be basic for some of you but I'm very confused when it comes to know which curve (6m or 3m) we can use for valuations of swaps and swaptions. Could someone please explain when to use ...
- 616
1
vote
1
answer
964
views
Quantlib Yield Curve
Is it possible to create yield curve object in Quantlib given some function of time? For example, given Nelson-Siegel parameters, create yield curve which can compute zero yield for any date >= ...
- 11
2
votes
1
answer
302
views
Curve building for a swap
I'm a student learning how to build a swap curve, I've deposit 6m rate = 5%, fra 6-12m rate = 5.8% and 12m-18m rate= 6% and swap 2y =7% and 3y swap rate = 7.5%.
I get the correct discount factors for ...
- 616
3
votes
0
answers
748
views
Using Python Quantlib's FittedBondDiscountCurve as Evaluator of Parametric Curve - Errors
I am using Quantlib's FittedBondDiscountCurve in Python 3.7 and setting MaxIterations to 0, and giving a guess_solution, which then turns the routine into an evaluator for the parametric form I choose,...
- 1,068
1
vote
1
answer
970
views
Find Interest Rate Swap BUMPs from Bloomberg in Excel
I have a bunch of plain vanilla interest rate swap contracts with all the relevant details regarding payment structure such as notional, fixed rate, index, payment frequency, reset convention, etc.. ...
- 135
1
vote
0
answers
238
views
pca for yield curve
I used Principe component analysis on yield curve data
this was the result
...
- 309
1
vote
1
answer
157
views
Required adjustments for stressed yield curves
I was looking at Basel proposed interest rate shocks. Using the standard US Treasury Yield Curve for the period starting from September 2017 to August 2019, I was able to construct Steep and Flat ...
- 1,830
2
votes
1
answer
534
views
If 10s20s steepener have equal DV01 weighting on each swap then why does convexity play a role in MtM
Receiver Swap 10yrs
Notional: 1,000,000
DV01: +1,300
Tenor: 10yrs
Rate: 4%
Payer Swap 20yrs
Notional: 500,000
DV01: -1,300
Tenor: 20yrs
Rate: 5%
Looking at this fictitious example, I want to ...
- 459
3
votes
1
answer
1k
views
What does 5 year OIS actually mean?
I am aware that OIS is the new reference/risk-free rate for collateralized cashflows. OIS is by definition an overnight rate (annualized, I assume). So once I have constructed my OIS yield curve, what ...
- 459
3
votes
3
answers
161
views
Bond strategy in rising rate environment
During a period of rising interest rates, it makes sense for investors to either swap out their longer term bonds for shorter ones, or simply invest in shorter maturity bonds in order to reduce ...
- 379
3
votes
1
answer
110
views
Investor rationale behind inverted yield curve
I just had a question regarding investors/markets rationale behind the cause of the yield curve. Assuming that investors believe that rates will be lower in the future and are pessimistic about the ...
- 379
1
vote
2
answers
513
views
Stress testing fixed income Yield curve with Nelson Siegel
I am attempting to stress test the Zero coupon Yield curve using The Nelson Siegel model as described in the following papers :
Generating Yield Curve Stress-Scenarios
Representative Yield Curve ...
- 11
2
votes
1
answer
394
views
Recommended Instruments (and sources) for Constructing Money Market Yield Curves
What instruments are the current industry recommendations for constructing money-market yield curves in some major currencies?
The switch after the crisis to multi-curve methods is well documented on ...
- 735
0
votes
2
answers
99
views
Which curve does the interest rate risk fall in?
For example, Australian government issues a bond denominated in USD currency? Which curve does the interest rate risk fall in? Australian Gov Curve or USD Gov Curve?
- 919
0
votes
0
answers
50
views
is there a specific design pattern in C# to model a yield curve into the NS model?
I successfully managed to have a nice NS model to a yield curve I am studying using R, while I am still beginner in C# I wonder if there is a specific design pattern I should follow in order to put ...
- 101
1
vote
1
answer
1k
views
Mark-to-market cross-currency basis swap valuation
I'm looking to replicate the EUR vs USD cross-currency basis curve that Bloomberg outputs (EUR.OIS collateralized in USD). I understand that Bloomberg is currently using the mark-to-market ...
- 21
1
vote
0
answers
491
views
Matching the yield on a bond with the zeroRate on a curve in Quantlib
I am using QuantLib to generate a US Treasury curve from 1y, 3y, 5y, and 10y yield quotes. However, after building the curve and running zeroRate on it, it ...
- 11