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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 namerate
Eonia0.0440
Euribor1M0.0450
Euribor2M0.0460
Euribor3M0.0470
Euribor6M0.0490
Euribor9M0.0500
Euribor1Y0.0520
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 datezero coupon
2021-05-070.0440
2021-06-100.0450
2021-07-120.0460
2021-08-100.0470
2021-11-100.0490
2022-02-100.0500
2022-05-100.0520

SUCCESS 014ms
SUCCESS 0.03s
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