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Report generated 11-04-2023 10:42

Bootstrapping Yield Curve

  Fra   Windows   Bootstrap   Yield Curve

Yield curve construction with Forward Rate Agreements
Steps Outcome
Given the following fra instruments with the trade date 2021-05-06
day count conventionmonths to startmonths to endratecalendarbusiness day conventionend of month
Actual360140.0300TargetModifiedFollowingfalse
Actual360250.0310TargetModifiedFollowingfalse
Actual360360.0320TargetModifiedFollowingfalse
Actual360690.0330TargetModifiedFollowingfalse
Actual3609120.0340TargetModifiedFollowingfalse
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
2021-09-100.02989
2021-10-120.03046
2021-11-100.03086
2022-02-100.03152
2022-05-100.03209

SUCCESS 013ms
SUCCESS 0.03s
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