# Tag Info

## Hot answers tagged bootstrapping

9 votes

• 5,552
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 ...
• 5,552
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 ...
• 5,768
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 ...
• 5,768

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