|
Steps
|
Outcome |
|
|
|
Given the following deposit instruments with the trade date 2021-05-06
instrument name | rate | Eonia | 0.0030 | Euribor1M | 0.0031 | Euribor2M | 0.0032 | Euribor3M | 0.0033 | Euribor6M | 0.0034 | Euribor9M | 0.0035 | Euribor1Y | 0.0036 |
|
SUCCESS |
003ms |
|
And the following fra instruments
day count convention | months to start | months to end | rate | calendar | business day convention | end of month | Actual360 | 12 | 15 | 0.0040 | Target | ModifiedFollowing | false | Actual360 | 13 | 16 | 0.0041 | Target | ModifiedFollowing | false | Actual360 | 14 | 17 | 0.0042 | Target | ModifiedFollowing | false | Actual360 | 17 | 20 | 0.0043 | Target | ModifiedFollowing | false | Actual360 | 20 | 23 | 0.0044 | Target | ModifiedFollowing | false |
|
SUCCESS |
|
|
And the following swap instruments
currency code | maturity | rate | interest periodicity | fixed_leg.day_count_convention | floating_leg.index_name | EUR | 2Y | 0.0050 | 6M | Actual360 | Euribor6M | EUR | 2Y6M | 0.0051 | 6M | Actual360 | Euribor6M | EUR | 3Y | 0.0052 | 6M | Actual360 | Euribor6M | EUR | 4Y | 0.0053 | 6M | Actual360 | Euribor6M | EUR | 5Y | 0.0054 | 6M | Actual360 | Euribor6M | EUR | 6Y | 0.0055 | 6M | Actual360 | Euribor6M | EUR | 7Y | 0.0056 | 6M | Actual360 | Euribor6M | EUR | 8Y | 0.0057 | 6M | Actual360 | Euribor6M | EUR | 9Y | 0.0058 | 6M | Actual360 | Euribor6M | EUR | 10Y | 0.0059 | 6M | Actual360 | Euribor6M |
|
SUCCESS |
|
|
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 date | zero coupon | 2021-05-07 | 0.003000 | 2021-06-10 | 0.003089 | 2021-07-12 | 0.003188 | 2021-08-10 | 0.003286 | 2021-11-10 | 0.003389 | 2022-02-10 | 0.003488 | 2022-05-10 | 0.003587 | 2022-08-10 | 0.003669 | 2022-09-12 | 0.003707 | 2022-10-11 | 0.003740 | 2023-01-10 | 0.003823 | 2023-04-11 | 0.003897 | 2023-05-10 | 0.004988 | 2023-11-10 | 0.005089 | 2024-05-10 | 0.005190 | 2025-05-12 | 0.005284 | 2026-05-11 | 0.005389 | 2027-05-10 | 0.005493 | 2028-05-10 | 0.005594 | 2029-05-10 | 0.005696 | 2030-05-10 | 0.005798 | 2031-05-12 | 0.005896 |
|
SUCCESS |
026ms |
|
SUCCESS |
0.04s |