Zero Curve Bootstrapping
FinPricing offers:
Four user interfaces:
- Data API.
- Excel Add-ins.
- Model Analytic API.
- GUI APP.
Bootstrapping Zero Curve
FinPricing offers the following FX curves via API:
- FX forward spread curves
- Precious metal forward spread curves
- OIS curves
- RFR (risk free rate) curves
- SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
- IBORs (LIBOR, EURIBOR, TIBOR, CDOR, EONIA, etc.) fallback rate curves
- Swap rate curves
- Basis curves
- Spot rate or zero rate curves
- Forward rate curves
- Discount curves
- Inflation Swap rate (CPI, RPI, HICP) curves
- Nordic electricity futures curve
- VIX futures curve
- S&P 500 futures curve
The term structure of interest rates, also known as yield curve, is defined as the relationship between the yield-to-maturity on a zero coupon bond and the bond's maturity. Zero curve data play an essential role in the valuation of all financial products.
How to construct an interest rate curve either under OIS discounting or LIBOR discounting?
- Click the Data tab at the top-left corner of the application. Then, expend Data -> InterestRateData -> InterestRateCurve and click the Construct button.
- A selection window pops up. Fill currency symbol in Column 3 and curve date in Column 6 and also select Discounting Approach in Column 1 (e.g., OIS), Curve Type in Column 5 (e.g., Base) and associated Basis Type in Column 9 (e.g., NA for base curve). After that click the Go button
- The results are shown in the main window.
| Related Topics |