Home > Market Data > Yield Curves > Bootstrapping yield curve > Yield curve construction with euribor and fra and swap instruments
Report generated 11-04-2023 10:42

Bootstrapping Yield Curve

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Yield curve construction with euribor and fra and swap instruments
Steps Outcome
Given the following deposit instruments with the trade date 2021-05-06
instrument namerate
Eonia0.0030
Euribor1M0.0031
Euribor2M0.0032
Euribor3M0.0033
Euribor6M0.0034
Euribor9M0.0035
Euribor1Y0.0036
SUCCESS 003ms
And the following fra instruments
day count conventionmonths to startmonths to endratecalendarbusiness day conventionend of month
Actual36012150.0040TargetModifiedFollowingfalse
Actual36013160.0041TargetModifiedFollowingfalse
Actual36014170.0042TargetModifiedFollowingfalse
Actual36017200.0043TargetModifiedFollowingfalse
Actual36020230.0044TargetModifiedFollowingfalse
SUCCESS
And the following swap instruments
currency codematurityrateinterest periodicityfixed_leg.day_count_conventionfloating_leg.index_name
EUR2Y0.00506MActual360Euribor6M
EUR2Y6M0.00516MActual360Euribor6M
EUR3Y0.00526MActual360Euribor6M
EUR4Y0.00536MActual360Euribor6M
EUR5Y0.00546MActual360Euribor6M
EUR6Y0.00556MActual360Euribor6M
EUR7Y0.00566MActual360Euribor6M
EUR8Y0.00576MActual360Euribor6M
EUR9Y0.00586MActual360Euribor6M
EUR10Y0.00596MActual360Euribor6M
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 datezero coupon
2021-05-070.003000
2021-06-100.003089
2021-07-120.003188
2021-08-100.003286
2021-11-100.003389
2022-02-100.003488
2022-05-100.003587
2022-08-100.003669
2022-09-120.003707
2022-10-110.003740
2023-01-100.003823
2023-04-110.003897
2023-05-100.004988
2023-11-100.005089
2024-05-100.005190
2025-05-120.005284
2026-05-110.005389
2027-05-100.005493
2028-05-100.005594
2029-05-100.005696
2030-05-100.005798
2031-05-120.005896

SUCCESS 026ms
SUCCESS 0.04s
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