# Tag Info

1

Let: $F(t,t+\tau)$ be the forward rate from time t to t + $\tau$ $D(t)$ the discount factor for time t The forward rate will be given by: $$1 + F(t, t + \tau) \tau = \frac{D(t)}{D(t + \tau)}$$ So in your case you have (more or less): $$1 + FRA_{1x7} \times 182/360 = \frac{D_{1M}}{D_{7M}}$$ and in your process of bootstrapping the yield curve you are ...

1

Here, I am assuming that your FRA is not settled in arrears, i.e. the (forward) LIBOR rate is settled at $t>t_0$ and paid at $t+\tau$. The present value formula for this FRA is: \begin{align} PV&=N\tau D_{OIS}(t+\tau)\left[R(t_0,t,t+\tau)-F(t,t+\tau)\right]\\ &=N\tau D_{OIS}(t+\tau)\left[R(t_0,t,t+\tau)-\frac{1}{\tau}\left(\frac{D_{6M}(t)}{D_{6M}(...

4

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 Eonia rate. You are calculating rates with simple compounding and not annual compounding Here is an alternative implementation: tenors = [ '1D', '1W', '2W', '...

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