New answers tagged finance-mathematics
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QuantLib: How to bootstrap Yield Curve using 3M futures - Python
If you want a really easy answer, you can do the following:
Convert your futures prices into rates e.g. $100 - price = rate$.
Construct a LineCurve in ...
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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 ...
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