Questions tagged [bootstrapping]
Bootstrapping is primarily a method for constructing a (zero-coupon) fixed-income yield curve from the prices of a set of coupon-bearing products, e.g. deposits, forwards/futures, bonds, swaps etc. The term convers also any recursive procedure of the same kind, for instance default probability curve bootstrapping, caplet volatility bootstrapping.
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ICVS 490 curve date vs swap settlement date
The more I look into curve construction the more questions I have. For example, the ICVS 490 curve (USD OIS SOFR vs Fixed):
The calibration/input instruments are USOSFR* instruments, i.e. OIS SOFR ...
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Using SOFR 1M futures for curve construction/bootstrapping
Using continuous time notation, the 1M SOFR futures rate R (price is 1-R) is
$$
R = \frac1T E^Q_t \left[\int_0^T r_u du \right]
$$
where $[0,T]$ is the reference month.
So I initially thought that the ...
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Recovery assumptions on STRIPS (UST, SPGB, Bunds, OAT) – coupon vs principal, arbitrage and XVA implications
I have a question regarding the recovery treatment of sovereign STRIPS programs, especially from an XVA perspective.
UST (US Treasuries):
As far as I know, both coupon STRIPS and principal STRIPS are ...
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How to infer the 1M curve from the 6M curve when I don't have basis swap data
In some markets (e.g., ZAR), most swap quotes are against 3M JIBAR. However, in certain applications a 6M JIBAR projection curve is required.
If there were an active 3M–6M basis swap market, one could ...
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Interest Rate Term Structure models
this thing has been bugging me for sometime. Hope somebody can help clarify and correct my thought process. Let's say I have created a zero coupon curve (spot rates) by bootstrapping from market ...
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error calling quantlib ConstNotionalCrossCurrencyBasisSwapRateHelper
I'm getting an error calling the quantlib function ConstNotionalCrossCurrencyBasisSwapRateHelper. I'm wanting to add cross currency basis between AONIA and SOFR. I'm getting the error :
RuntimeError: ...
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Zero Rate Bootstrapping Question
I'm just starting to read about Arbitrage Trading and am currently looking at zero coupon rates as it's in the textbook I am using and had a question about bootstrapping.
Say that I have the ...
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What coupon frequencies should I assume for bootstrapping spot curve from yield curve?
I found this post that pretty well explains how to transform a yield curve to a spot curve. Now I'm trying to apply this to a "real" yield curve that I downloaded via the FRED Api. In the ...
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Quantlib - NDS Curve bootstrapping and pricing
I am in the process of bootstrapping an NDS curve for EM markets (I assume one example +/- fits all). I am able to bootstrap and SOFR curve Local CCY curve and a XCCY curve, I do struggle to put it ...
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Dual Bootstrapping Python
I am trying to perform a dual bootstrapping for the Chilean curves in order to generate the Camara curves for Compound Index Swap and Cross CC Basis Swap, collateralized. In this case, for the cbas ...
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Size of blocks in Block Bootstrapping of returns
I am working on long term portfolio allocations. With larger investment horizon like 5-10 years, 20 years of data that I have is not enough. So I decided to do some bootstrapping to generate some ...
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Setting Bootstrapping priority
I'm currently trying to bootstrap a SOFRTERM curve using CME 1M SOFR futures, 3M SOFR futures and SOFR swap rates. For no particular reason I want to use the 3M futures as a priority over the 1M ...
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Bootstrapping OIS discount curve from OIS Swaps
I‘m trying to understand why we need Bootstrapping to determine discount factors when we already have the fix rates of OIS Par Swaps. So lets assume that we have the following (annualized) rates:
1 ...
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Saw-toothed forward rate yield curve structure
I am trying to derive money market yield curve from observable IRS swap rates. IRS float coupon pays average 7D forward rate each quarter in arrears. For the last 2 years i've been using bootstrapping ...
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How to select one FRA among many having the same time to maturity (Yield Curve Construction)
This question is related to Yield Curve Construction. I am using the old method described in this article. For the second region of the yield curve (page 8), FRAs are used. The zero-coupon yield can ...