# Tag Info

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 ...
• 5,543
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: ...
• 5,543
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 ...
• 9,219
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 ...
• 5,285
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 ...
• 2,245
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 ...
• 5,543

### 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 ...
• 2,846

### 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, ...
• 13.7k
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 ...
• 5,285

### 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 ...
• 231
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
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 ...
• 5,543
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 ...
• 1,008

### 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 ...
• 796
Accepted

• 20.4k
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 ...
• 13.7k