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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66 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 + ...
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1k views

Constructing yield curve directly from yield-to-maturity data

I'm trying to use Bloomberg yield-to-maturity data for sets of sovereign bonds of different maturities to fit to a yield curve. I looked into using the QuantLib library (the FittedBondCurve ...
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1k views

QL-Python Bootstrapping Yield Curve FuturesRateHelper throwing off results

I'm trying to perform a bootstrap of a yield curve from deposit rates, futures, and swaps, and the interpolation is "blowing up" for the futures maturities being off by two orders of magnitude (100x). ...
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91 views

IR parity theorem

I wonder how post crisis multiple curve approach influences the ir parity theorem: $${\displaystyle (1+i_{\$})={\frac {E_{t}S_{t+k}}{S_{t}}}(1+i_{c})}$$ Let's say that $i_\$$ is USD Libor 3m rate ...
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59 views

How to compute treasury yields as reported in the online financial newspapers?

I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same ...
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7k views

Stub rate and first fixing in IRS

I have 2 questions that probably are related. Suppose there is an IRS that pays a 2% fixed rate every 6 months and receives the Libor 3 months (but paid every 6 months). The swap starts today (March ...
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5k views

Bloomberg Zero Coupon Rates

As some of your may know from my other posts, I am working on a Dynamic Nelson Siegel (DNS) based relative value trading model. On simulated data (which satisfies all the assumptions) of the DNS it ...
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1answer
828 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 ...
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190 views

Spreadlock derivatives

I would like to price a spreadlock forward swap and a spreadlock swaption but I don't find in the web any research article. Would you please provide me with some freely accessible papers on the web ? ...
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158 views

Spot period considerations in yield curves

Textbook explanations of yield curve modelling discuss bootstrapping or other methods. If we take sovereign bonds for deriving the curve, we would get price data from a market data provider like ...
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780 views

Yield curve interpolation

I'm trying to build a zero/spot curve and have two pieces of information. 1yr zero coupon swap = 1% 3yr zero coupon swap = 3% My initial guess was to linearly interpolate which produces a linear ...
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2k views

Yield curve: Turn of year effect jump calculation

I'm trying to get the values for the turn of year jumps that can be found at section 4.8 of Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping But Were Afraid To ...
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124 views

Difference between a 3-months UK nominal spot rate and a 3-months UK treasury bill discount rate?

I am trying to collect data I could use for calibration of a short-rate modeling process, so I need data which represents the historical short-rates. On the Bank of England webpage I came across the ...
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3k views

Convert USD yield into EUR yields

I want to calculate the EUR equivalent yield from the USD yield curve. For example : how to translate the USD libor curve into an EUR equivalent yield curve ? Do I need to use FX forwards or is the ...
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108 views

Do yield curves only show market expectations, or is there more to them?

I am hoping to understand 'Brexit' impact on UK yield curves. Specifically, government liability yield curves (so yields based on UK government bonds - Gilts): The Background On 24th of June - the ...
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156 views

Looking for the conventions for EONIA swaps used to define EONIA swap rates

I'm trying to recreate some historical curves using EONIA swap rates. Unfortunately I can't find a concrete specification for the swaps. Without knowing if there are intermediate coupon payments, I ...
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87 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? ...
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74 views

Raw interpolation when the desired term is out of the know originals

I was reading this paper regarding the yield curve construction and was programming the Raw Interpolation algorithm (page 7 equation 6) however I was wondering how to use the formula when the desired ...
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211 views

Relation Between Yield Curve, First Order Derivative of YC and Forward Rate

I'm reading the book, "Derivatives Analytics with Python" by Yves Hilpisch. In an application of calibration of CIR85 process for the short-term interest rate. I found some codes which can be ...
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148 views

Zero Coupon Curve and Floating Rates Notes pricing

Simple question: Can I use a Zero Coupon Curve (using Treasury or Swap Curve) to price floating rates notes (FRN)? I am building a classic Zero Coupon Curve, however I wonder if I can use it to ...
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700 views

Interest rate curve in option pricing

When pricing an equity option we calculate risk-free rate by interpolating one of the curves below for time-to-maturity T. What is the difference between the following curves and in what case each is ...
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139 views

How are LIBOR rates beyond 12M arrived at? [closed]

I understand LIBOR rates quoted on a daily basis upto 12 M tenors. But how are rates beyond 12M tenor estimated. I got this question from an interviewer.
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122 views

Libor futures rolling adjustment & curve building

Can futures rolling affect curve constructing? Let's say that i'm using future 1 and 2 to construct the short end of my curve. As i understand it, rolling will create volatility (as volumes spike), ...
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564 views

Yield curve and bid ask spread

For the valuation of a bond, is the bid ask spread somehow reflected in the yield curve? Considering zero coupon bond, one would expect to have an bid price and ask price and therefore if I am ...
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63 views

What does equilibrium return on 90-day Treasury Bills mean?

I have been reading NZ Superfund's 2015 Ref Portfolio Review (here) and came across this notion: Our estimate of the equilibrium return on 90-day Treasury Bills is 5%. And this is under the column ...
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Zero rate curve USD Libor

Good day, I gave following inputs of Libor rates : ON 0.3731 1W 0.3939 1M 0.4265 2M 0.5148 3M 0.6176 6M 0.8655 1Y 1.1336 How can I build zero-rate curve ?
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214 views

Strategies on steepen yield curve

Believe that the yield curve is going to steepen very soon. It may be fall in short-term rates, a rise in long-term rates, or some combination of these. What strategy should we pursue in the bond ...
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137 views

Constructing NS-Svensson parameters with zero coupon AND coupon bonds

I am in the process of calculating sovereign zero coupon yield curves using the NS-Svensson parameter for a number of countries. Due to data constraints, I would like to use the information from price ...
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101 views

How do I interpret yield curve data points given by the US Treasury?

Given the Daily US Treasury Yield Curve Rates for a specific date I will fit the curve with the cubic spline method, but first I need to know how to use the data points given by the Treasury. For ...
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250 views

Basic questions on the yield curve

When people say "yield curve", do they mean yield/time curve, or yield/price curve? It seems that most of the time, people refer to yield/time curve, as wikipedia suggests. Though sometimes, people ...
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2k views

Deriving the par-yield curve

Given for example 6 bond prices and their respective 6 cashflows over a time period of 6 years, I have managed to derive the zero-coupon yield curve using the bootstrap method. However, it got lost ...
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30 views

Free swaps/swaptions data

I would like to play around a bit with some yield curve models. I am looking for a way to get a hold of free swaps/swaptions data. Obviously, the quality does not have to be super good, I am merely ...
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76 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 ...
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134 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 ...
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R Yield Curve: Nelson Siegel Fitting

I'm trying to fit a yield curve using Nelson Siegel through the R Yield Curve package. However, the Nelson.Siegel() function only takes two inputs of yield and ...
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25 views

Quantifying the difference between 2 Foward Curves

I'd like to quantify the difference between 2 Foward Curves. In particular, I'd like to get a single metric which represents the magnitude of change between curve A and curve B. I'd like to plot this ...
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33 views

Comparing curve fits

I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
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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) ...
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43 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,...
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330 views

How to build the 3 month LIBOR Forward curve through Swaps?

In my research, I found that you can build 3 month LIBOR Forward curve using Eurodollar futures and Interest rate swaps. I want to understand how they can be built from Swaps. How can I find the ...
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49 views

How to build the Fed Funds Rate which is a discounting curve? Need this information for modelling the SOFR curve

I want to understand how one could construct the Fed Funds rate. I read somewhere that this could be done using fed funds futures but I wasn't able to understand how Can someone elaborately explain in ...
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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 ...
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33 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? ...
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149 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 ...
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SOFR Term Structure and Discounting

Recently I have been going through a lot of documents for SOFR (Secured Overnight Financing Rate). For Debt Markets (loans, etc.) - I understand that SOFR Forward looking term terms rates are ...
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What is the continuous time approx formula for the par yield curve?

I understand that the par rate is the single discount rate that you would use to discount all of the bond’s cash flows to get today’s market price. I also see that assuming a spot rate function $R(t)...
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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 ...
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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 ...
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Deriving the series for federal funds rate expectations using federal funds futures

I am trying to derive the monthly series from 2000-2019 of the expectations of federal funds rate based on federal funds futures. How should I proceed? Where to look? Is it possible?
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246 views

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 ...