9 votes

Why the 3M Zero Rate is not equal to the 3M Cash Rate? On Bloomberg yield curve bootstrapping

Market Rate, for this particular case, is a rate quoted on ACT/360 basis, start date = 21/06/2022, end date = 21/09/2022 on ACT/360 basis means year fraction 92/360. Discount Factor is $1/(1+92/360*2....
  • 836
7 votes
Accepted

Quantlib-Python: use zero rates to get the originally bootstrapped curve

To retrieve the original curve, you need to use the same key tenors of the original curve and with the same interpolation. For instance, when you create the original curve as: ...
6 votes
Accepted

Quantlib bootstraping fails on 5y swap

You're not the first to trip on this, and unfortunately the fact that the provided example is from a different era doesn't help. Quite simply, you're not writing rates correctly. The 5-years swap ...
6 votes
Accepted

What is Dual Curve Bootstrapping? And how to do it, with an example?

A multi-curve means that you observe the discounting instruments (such as fed funds) and projection (libor, swap curve) and solve for all of them simultaneously; as opposed to bootstrapping separately ...
6 votes
Accepted

Bootstrap with QuantLib: Fair Swap or zero NPV

The problem is that you are not pricing the same thing, and for two reasons: The vanilla instruments you are pricing should start on spot date and have a maturity with that start as reference The ...
  • 5,375
5 votes
Accepted

Bootstrap yield curve with QLNet / Quantlib

While @Baruch Youssin answers correctly in the general sense, the first part of his answer isn't what happened in the example code. While QLNet is a port of QuantLib, it's not a direct port. Your ...
  • 2,255
5 votes
Accepted

Using RateHelper (bootstrapping) and Speed up in Quantlib Python

Yes, it's possible to reduce the number of objects you'll create; whether this will speed up your calculations depend on how much time is taken by their creation and how much is taken by the actual ...
5 votes
Accepted

Do you optimise models on bootstrapped time series?

Simulation for timeseries data is not a trivial matter and there are a number of methods to ensure you retain some of the relevant properties (mostly called dependent bootstrap methods): Block ...
  • 1,018
5 votes

Estimating a Yield Curve in a country without Bond Stripping

You do not need zero rates to estimate a parametric model of the yield curve, such as Nelson-Siegel. Suppose for instance that you have a cross-section of bond prices. Then: For given parameters for ...
5 votes

SOFR term structure

At this point liquidity in SOFR is provided by a set of futures contracts in the very short end of the curve , and then through Libor -SOFR basis swaps which are reasonably liquid up to around 5years, ...
  • 14.3k
5 votes
Accepted

Bootstrapping OIS curve

I see several problems that might explain those differences: The frequency of the fixed leg on a EONIA swap is Annual and not semi The deposit facility rate is not part of the EONIA curve. Use the ...
  • 5,375
4 votes
Accepted

6 month curve from 3 month forward rate agreements

No, you can't. You can never deduce the 3M/6M basis spread from 3 month instruments alone. If you consider the OIS curve riskless, you can interpret the 3 month curve as riskless rate + additional ...
  • 828
4 votes
Accepted

QuantLib Python Swap Yield Curve Bootstrapping Dates and Maturities

15 years does correspond to t=15.236 according to the day counter you told the curve to use. First, you can't get exactly 15 anyway. Your calculation date is September 1st, 2016; according to the ...
4 votes

How to do simultaneous dual curve bootstrapping?

It's done in 2 steps: 1) First you bootstrap OIS curve independently from Libor curve, get OIS discount factors 2) Then use these to bootstrap Libor curve (using OIS discount factors instead of ...
  • 816
3 votes
Accepted

AUD Forward Rate Agreement and Forward Curve Bootstrapping

USD FRA: $\text{payoff} = N \frac{\delta (R - K) }{ 1 + \delta R}$ paid on the FRA start date, where $N$=notional, $\delta$= year fraction, $K$= fixed rate, $R$= floating rate; AUD FRA: $\text{...
3 votes
Accepted

forward space vs zero space in finance jargon

In interest rate land you can look at the yield curve in 3 ways: par space (a chart of the par swap rates of different maturities) , zero space (the zero coupon swap rates) and forward space (usually ...
  • 14.3k
3 votes
Accepted

Bootstrapping OIS Curve with data from different days data

A curve is used to do calculations (e.g. discounting of cash flows) as of a given trade date. Bootstrapping a single curve for two different trade dates does not make sense. With the first set of ...
3 votes
Accepted

QL-Python Bootstrapping Yield Curve FuturesRateHelper throwing off results

The FuturesRateHelper class knows that futures are quoted as 100-rate, so there's no need to convert the prices. You can just create them as ...
3 votes
Accepted

Dual Curve Bootstrapping - When to OIS discount?

Modern curve building methodologies, certainly implemented in top tier fixed income trading houses, use a simultaneous non-linear solver to construct all curves at once. Essentially the procedure is: ...
  • 8,099
3 votes

Why would a 15Y swap index=EUR3M and discount=OIS, show only a EUR3M-delta at 15Y

Regardless of single- or multi-curve framework, you can always think of a vanilla, fixed-to-float interest rate swap as a linear combination of a long (short) fixed rate bond and a short (long) ...
  • 940
3 votes

How to resampling the risk of a specific tenor on a interest rate curve without replace the instrument?

Let's assume that the relevant pillar $t$ of your curve is currently (exclusively) calibrated using the reference instrument $f_0$ at market quote $q_0$. The instrument could be a swap, a forward rate ...
  • 6,043
3 votes
Accepted

How does Bloomberg bootstrap CASH Instruments?

The displayed curve uses ACT/365 daycount with continuous compounding. The ZC is calculated by converting from simple discounting (ACT/360) to continuous compounding (ACT/365). Hence, you can ...
  • 940
2 votes

Bootstrap yield curve with QLNet / Quantlib

I do not yet know QuantLib but one question is general and easy to answer: My first question is why do they use different yield curve? These two curves differ by risk levels inherent in them - the ...
2 votes

Deriving a 3M libor curve from 6M libor swaps and 3M-6M libor basis swaps

Let $\delta$ be 3 month and consider points of interest $\{T_i\}_i$ evenly spaced with $T_{i+1} -T_i = 3 month$. The Forward Rate $F_m^n(t)$ from period m to n at time $t$ is defined by $$(1 + \delta (...
  • 614
2 votes

Bootstrapping Sharpe Ratios

Bootstrap is a very interesting method to obtain the variance of any estimator. This means you can rely on it to obtain de variance of your Sharpe ratio (SR), but what you try to do is to deduce ...
  • 10.7k
2 votes
Accepted

How do I interpret LCH/CME OIS/IRS pricing data?

The section that refers to USD-LIBOR-BBA 3M looks correct. This shows that CME IRS are marginally higher than LCH IRS. This means that when you bootstrap the curve, the corresponding forward rates ...
  • 14.3k
2 votes

Risk neutrality correction for Monte Carlo Bootstrapping according to PRIIP regulation for products of category III

Better late than never. Although the question is rather old I think the topic is still important for some people. I had the same question how to deal with that formula and arrived here. So I did some ...
  • 176
2 votes

Risk neutrality correction for Monte Carlo Bootstrapping according to PRIIP regulation for products of category III

Isnt't the simulated return of 1,057013249 just a typo? Next to it on the presentation you can spot no. "3" - I suppose it is a return ID which should further correspond to what is shown 2 slides ...
  • 21
2 votes
Accepted

One week LIBOR?

There are no traded instruments that would allow a 1w libor curve to be bootstrapped. If you need to calculate a forward rate for 1week libor in the current environment, I would suggest that it can ...
  • 14.3k
2 votes

Bootstrapping Quantlib RateHelper Python/C++

The implementation of the bootstrap procedure in QuantLib is too long to describe here. It is explained at https://www.implementingquantlib.com/2013/10/chapter-3-part-3-of-n-bootstrapping.html; you ...

Only top scored, non community-wiki answers of a minimum length are eligible