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 ...
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6 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: ...
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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 ...
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6 votes
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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 ...
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  • 5,285
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 ...
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  • 2,245
5 votes
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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 ...
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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 ...
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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, ...
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  • 13.7k
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 ...
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  • 5,285
4 votes

How do I calculate Sharpe ratio from P&L?

It is true that intraday/market-making strategies don't have a reasonable "return" metric. For this reason you can't characterize them with the Sharpe Ratio, which depends on a capital basis and how ...
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  • 231
4 votes
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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 ...
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  • 828
4 votes
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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 ...
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4 votes
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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 ...
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  • 1,008
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 ...
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  • 796
3 votes
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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{...
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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 ...
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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 ...
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  • 13.7k
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 ...
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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: ...
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  • 7,997
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) ...
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  • 775
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 ...
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  • 5,333
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 ...
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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 ...
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  • 10.5k
2 votes
Accepted

QuantLibXL - Optionlet bootstrapping failure

Answering my own question: All the indicated numbers as obtained from ICAP need to be divided by 100, as they are percentages The OptionletStripper1 takes an ...
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  • 231
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 (...
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  • 614
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 ...
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  • 13.7k
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: $$1 + d_i s_i = \prod_{j=1}^{n(i)}(1+ d_j r_j) \; , \quad \text{where} \quad d_i = \sum_{j=0}^{n(i)} d_j \;.$$ ...
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  • 7,997
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)}...
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  • 20.4k
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 ...
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  • 13.7k
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 ...
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