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....
- 866
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:
...
- 7,003
7
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 ...
- 5,685
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 ...
- 7,003
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 ...
- 12k
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 ...
- 5,685
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 ...
- 7,003
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 ...
- 1,068
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 ...
- 3,186
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, ...
- 16.6k
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 ...
- 7,003
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 ...
- 851
4
votes
Accepted
Can I use spot rates bootstrapped from a swap curve to price a bond?
The general - and short - answer would be no: Except for some hypothetical cases, unless you have a convincing model for the residual spread-over-swap, you cannot use swaps to value your bond.
Quick ...
- 6,445
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:
...
- 9,215
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 ...
- 5,632
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{...
- 5,632
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 ...
- 16.6k
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
...
- 7,003
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) ...
- 1,841
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 ...
- 1,841
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 ...
- 16.6k
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 ...
- 16.6k
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 $$(1 + \delta (...
- 624
2
votes
Accepted
OIS Discount Factor Bootstrapping - Do we assume simple interest?
An OIS interest rate swap rate with annual-annual freq is determined under one year by:
$$1 + d_i s_i = \prod_{j=1}^{n(i)}(1+ d_j r_j) \; , \quad \text{where} \quad d_i = \sum_{j=0}^{n(i)} d_j \;.$$
...
- 9,215
2
votes
Accepted
Transform a 3M FRA Rate to a 6M FRA Rate
From a pure mathematical perspective, this is possible. For example, consider dates $t_0 \le t_1 < t_2 < t_3$. Given
\begin{align*}
L(t_0, t_1, t_2) = \frac{1}{\Delta t_2}\left(\frac{P(t_0, t_1)}...
- 21k
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 ...
- 7,003
2
votes
Accepted
Building a consistant Forward curve in the multicurve framework
One possible solution is to build "synthetic" short term 6M IBOR deposits by extrapolating for $T < 6\text{M}$ from the 6M IBOR deposit and 1x7, 2x8, etc. 6M IBOR FRAs as I have seen done in ...
- 5,632
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