# Tag Info

• 5,672
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 ...
• 5,672
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 ...
• 17.2k
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 ...
• 7,743

### 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) ...
• 1,896
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 ...
• 1,896

### 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 ...
• 7,743
Accepted

### 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 ...
• 10.8k
Accepted

### 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 ...
• 10.8k
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 ...
• 17.2k

### 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

### 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 ...
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: $$1 + d_i s_i = \prod_{j=1}^{n(i)}(1+ d_j r_j) \; , \quad \text{where} \quad d_i = \sum_{j=0}^{n(i)} d_j \;.$$ ...
• 10.8k
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)}...
• 21.2k

### 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 ...
• 7,743
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 ...
• 5,672

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