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Bootstrapping yield curve
> Yield curve construction with Eonia and Euribor
Overall Test Results
Requirements
Themes
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Report generated 11-04-2023 10:42
Bootstrapping Yield Curve
Deposit
Euribor
Eonia
Windows
Bootstrap
Yield Curve
Yield curve construction with Eonia and Euribor
Steps
Outcome
Given the following deposit instruments with the trade date 2021-05-06
instrument name
rate
Eonia
0.0440
Euribor1M
0.0450
Euribor2M
0.0460
Euribor3M
0.0470
Euribor6M
0.0490
Euribor9M
0.0500
Euribor1Y
0.0520
SUCCESS
006ms
When the bootstrapping method is used to build the zero curve "curveName"
SUCCESS
001ms
Then the computed zero-coupons by maturity date with "Actual360" as day count convention and "Simple" compounding should be
maturity date
zero coupon
2021-05-07
0.0440
2021-06-10
0.0450
2021-07-12
0.0460
2021-08-10
0.0470
2021-11-10
0.0490
2022-02-10
0.0500
2022-05-10
0.0520
Calculation details
SUCCESS
014ms
SUCCESS
0.03s
Serenity BDD version 3.6.22