Home > Market Data > Yield Curves > Bootstrapping yield curve > Yield curve construction with swaps
Report generated 11-04-2023 10:42

Bootstrapping Yield Curve

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Yield curve construction with swaps
Steps Outcome
Given the following swap instruments with the trade date 2021-05-06
currency codematurityrateinterest periodicityfixed_leg.day_count_conventionfloating_leg.index_name
EUR1Y0.0034676MActual360Euribor6M
EUR1Y6M0.0035256MActual360Euribor6M
EUR2Y0.0036416MActual360Euribor6M
EUR3Y0.0037976MActual360Euribor6M
EUR4Y0.004966MActual360Euribor6M
EUR5Y0.0064476MActual360Euribor6M
EUR6Y0.0084956MActual360Euribor6M
EUR7Y0.0106736MActual360Euribor6M
EUR8Y0.0126756MActual360Euribor6M
EUR9Y0.0145056MActual360Euribor6M
EUR10Y0.0161776MActual360Euribor6M
SUCCESS 003ms
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 "Continuous" compounding should be
maturity datezero coupon
2022-05-100.003464
2022-11-100.003522
2023-05-100.003638
2024-05-100.003794
2025-05-120.004953
2026-05-110.006457
2027-05-100.008547
2028-05-100.0108
2029-05-100.01289
2030-05-100.01482
2031-05-120.01661

SUCCESS 019ms
SUCCESS 0.03s
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