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Steps
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Outcome |
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Given the following deposit instruments with the trade date 2021-05-06
| instrument name | rate | | Euribor1M | 0.0450 | | Euribor2M | 0.0460 |
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SUCCESS |
004ms |
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And the following bond instruments
| bond type | face value | interest periodicity | settlement days | maturity | coupon rate | price | | zero_coupon | 100 | 0D | 0 | 3M | 0 | 97.5 | | zero_coupon | 100 | 0D | 0 | 6M | 0 | 94.9 | | zero_coupon | 100 | 0D | 0 | 1Y | 0 | 90.0 | | fixed_rate | 100 | 6M | 0 | 1Y6M | 0.08 | 96.0 | | fixed_rate | 100 | 6M | 0 | 2Y | 0.12 | 101.6 |
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SUCCESS |
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When the bootstrapping method is used to build the zero curve "curveName"
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SUCCESS |
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Then the computed zero-coupons by maturity date with "Actual360" as day count convention and "Continuous" compounding should be
| maturity date | zero coupon | | 2021-06-10 | 0.04492 | | 2021-07-12 | 0.04577 | | 2021-08-06 | 0.09907 | | 2021-11-06 | 0.1025 | | 2022-05-06 | 0.104 | | 2022-11-06 | 0.1051 | | 2023-05-06 | 0.1066 |
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SUCCESS |
014ms |
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SUCCESS |
0.02s |
