# Questions tagged [zero-coupon]

A debt security that doesn't pay interest (a coupon) but is traded at a deep discount, rendering profit at maturity when the bond is redeemed for its full face value.

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### Calculating FX Forwards Using Spot Prices and Discount Factors for Exotic Currency Pairs

We need to value FX forwards for some exotic currency pairs using a third-party system that does not provide the forward rates. The system can provide spot prices. Is it correct (real) to calculate ...
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### 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 ...
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### 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 ...
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### Pricing a zero coupon callable bond

Suppose I have a 20-year zero bond with a call date in 10 years and a zero interest rate of 2%, which is currently valued at a Z-spread of 100. Now I would like to evaluate the right of termination ...
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### Stochastic representation of a zero-coupon bond

In Chapter 9 of Shreve's book Stochastic Calculus for Finance II, the main theorem is the 9.2.1. Defining the discounting process $D(t)=\mathrm{e}^{-\int_0^t du r(u)}$ and $r(u)$ the, possibly ...
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### QuantLib: Pricing BRL zero coupon swap using relevant attributes in Quantlib

I am trying to price the BRL zero coupon swap. As we know that ZC swaps fixed payer pays a single payment at maturity and the float payer pays the interim payments till maturity. So in this case, ...
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### QuantLib: How to price or construct a zero coupon swap using Quantlib

I am trying to construct and price the zero coupon swap. However its giving me the AttributeError: module 'Quantlib' has no attribute 'ZeroCouponSwap'. Please let me know how to price the zero coupon ...
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### Why are we so focused on Zero Coupon Bonds?

In fixed income markets there seem to be two prevailing term structure modelling approaches: Market Models HJM Framework In Market Models, such as the LIBOR Market Model (LMM) and SABR it is common ...
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### Zero Coupon Bonds for Structured Products

I'd like to find out how to calculate the level of a zero coupon bond that goes into a fully funded structured product. Let's say SocGen or JPM issue a 2Y fully funded structured note (zero coupon + ...
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### Zero-coupon bond price in the risk-neutral word

In Hull's technical note (http://www-2.rotman.utoronto.ca/~hull/technicalnotes/TechnicalNote31.pdf), on page 3, in the third row from the bottom, a plus sign suddenly appears before σ dz in an ...
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### Arbitrage Opportunities in a Two-Zero Coupon Bond Market

Question: Suppose we are in a market where there are only two zero coupon bonds, both with a face value of 100: the first one with a maturity of one year and a price of 90, and the second one with a ...
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### Filipovic: Where is it used that the world is deterministic

In this text (Damir Filipovic, Term-Structure Models, Springer, 2009) $P(t,T)$ denotes the price of a zero-coupon bond at time $t$ with maturity $T$. I cannot see where the proof uses the ...
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### How does Bloomberg use the OIS curve to get the zero rates?

I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly ...
1 vote
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### From Discount Factor to Zero rate [duplicate]

Hello guys, starting from this picture, which is the method that you usually use in order to find Zero Rate from Discount Factor? Thank you in advance
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### Rationale for issuing zero coupon bonds

I have a conceptual question regarding zero-coupon bonds. Say a bond issuer has issued a bond for funding itself, this bond has been split by the issuer (for simplicity assuming issuer is the same as ...
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### Pricing near to expiration bonds using QuantLib

I want to get the theoretical price of a zero coupon bond each day using quantlib, I'm able do to this up to just before the maturity date where I get the following error: ...
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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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### Strange Market Data YTM for a Zero Coupon Bond

I am trying to compute the YTM of the following Zero-Coupon Bond: The issue date was 13-01-2022 and the maturity date was 14-01-2023. For me, it seems strange that the price remains "almost ...
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### 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 ...
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### Zero coupon price using Vasiceks model under the Real-world P measure model

I'm wondering if there is a way to work out the formula for the price of the zero-coupon bond using the Vasicek's model (P measure). I have tried to find reference on it but could not, I don't know if ...
281 views

### Estimate yield of coupon bond given yield of zero coupon bond

Suppose that now is August 2006 and we have the following zero-coupon bonds: Maturity: August 2007, Price: 95,53 ...
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### How to calculate zero-coupon curve for Italian BTPs?

On the BTP curve, we have the following Bonds (just showing you an extract) I want to calculate z-spreads my self therefore I need the zero-coupon curve. How do I go about doing this? Do I look at ...
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### Is this term structure model valid? (Modeling the Zerobonds directly)

Let us define the dynamics of the discounted Zerobonds as $$\tilde{P}(t,T) = \int \sigma(t,T) dW_t + \tilde{P}(0,T)$$ Lets assume $\sigma(t,T)$ is s.t. $\tilde{P}(t,T)$ is a martingale and positive (...
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### Volatility and drift of the instantaneous forward rate under risk neutral measure using the zero coupon bond

I have question about this problem. I believe I have derived $f(t,T)$ correctly using the zero-coupon bond. But I am unsure about how to go forward with the question and how to use the second part. ...
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### Quantlib: convert par swap rates to zero rates back and forth

I built a zero-coupon curve out of a generic par swap rate curve (Step 1) and I am trying to recover the swap curve back from the zero-coupon curve (Step 2). Step 1 works but not Step 2. I get close ...
1 vote
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### 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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### Risk-Neutral Pricing Formula for Zero-coupon bonds with Default Risk

I am looking for the equations or papers showing the risk-neutral pricing for zero-coupon bonds including default risk. I already tried Googling and searching SSRN and Jstor.
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### T-Forward Measure, LMM & the Zero T-bond

the zero-coupon T-bond is widely used in the industry as a tool to derive pricing formulas: for example it is used in the derivation of the Libor Market Model. The way in which it is often used ...
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### Vasicek Model, zero coupon bond question [closed]

I am trying to solve questions in the Vasicek model. Can anyone help me to solve this question... In the Vasicek model with parameters $\theta = 0.08$, $k$ = 2.5, $\sigma = 0.2$, assuming to be ...
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### Why is it desirable to receive fixed on a zero coupon swap, and undesirable to pay fixed on a zero coupon swap?

In most established rates markets, swaps are discounted using risk-free reference rates, such as Sonia in the GBP market and Eonia in the EUR market, as opposed to Libor. Because of the way zero-...
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How can I calculate the discount factor for row 1? I would do $$\frac{1}{(1+ 2.13763/100)^{(90/360)}} = 0.994726197703956$$ My ultimate goal is to reproduce the Zero Rates. Any hints welcome. ...