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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....
emot's user avatar
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8 votes
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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 ...
David Duarte's user avatar
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7 votes
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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: ...
Luigi Ballabio's user avatar
6 votes
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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 ...
Dimitri Vulis's user avatar
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 ...
David Duarte's user avatar
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5 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 ...
NBF's user avatar
  • 1,078
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 ...
Luigi Ballabio's user avatar
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 ...
Enrico Schumann's user avatar
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, ...
dm63's user avatar
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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 ...
Ami44's user avatar
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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 ...
Luigi Ballabio's user avatar
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 ...
alexprice's user avatar
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4 votes
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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 ...
Kermittfrog's user avatar
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3 votes
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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: ...
Attack68's user avatar
  • 10.8k
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{...
Antoine Conze's user avatar
3 votes
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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 ...
Antoine Conze's user avatar
3 votes
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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 ...
dm63's user avatar
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3 votes
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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 ...
Luigi Ballabio's user avatar
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) ...
oronimbus's user avatar
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3 votes
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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 ...
oronimbus's user avatar
  • 1,896
3 votes

QuantLib: How to bootstrap Yield Curve using 3M futures - Python

The theory and a worked-out example are in Ametrano and Bianchetti, Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask. Recently I reproduced ...
Luigi Ballabio's user avatar
3 votes
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Explicit step by step curve construction using FRAs

Since you have my book I'll give you a step by step. You have choices to make here. How you you want to parametrise your Curve, what interpolation do you use, which node points for the discount ...
Attack68's user avatar
  • 10.8k
3 votes
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swap curve calibration with interpolation using newton-like method

You cannot solve for 4 degrees of freedom with two fixed parameters. That is an underspecified curve and it will (even though solvable, with infinite solutions) lead to chaotic behaviour within your ...
Attack68's user avatar
  • 10.8k
2 votes
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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 ...
dm63's user avatar
  • 17.2k
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 ...
Fokko's user avatar
  • 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 ...
user29205's user avatar
2 votes
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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: $$1 + d_i s_i = \prod_{j=1}^{n(i)}(1+ d_j r_j) \; , \quad \text{where} \quad d_i = \sum_{j=0}^{n(i)} d_j \;.$$ ...
Attack68's user avatar
  • 10.8k
2 votes
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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)}...
Gordon's user avatar
  • 21.2k
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 ...
Luigi Ballabio's user avatar
2 votes
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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 ...
Antoine Conze's user avatar

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