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Yield Curve Building using Eonia and Euribor

We're going to construct in detail a zero-coupon yield curve, called zero curve as well, with euribor by using bootstrapping method.

Bootstrapping of spot rates

The input market data are deposit rates, more precisely Eonia and Euribor rates, so the related rates are themselves zero rates. So, we have just to compute the maturity dates by taking into account the following characteristics.

Eonia and Euribor characteristics

The Eonia and Euribor rates have the following characteristics which are implemented by default by our API:

So, we should only look into the computation of the maturity dates according to the trade date, the Euribor maturities and the TARGET calendar.

Maturity dates computation

The Eonia maturity date

As we mentioned above the trade date is

Let's note the trade date is a business day.

As we know the Eonia's tenor is 1D and because the Eonia's settlement days is 0 as mentioned above, so the maturity date should be

Let's note that the above date is a business day, so we don't have to apply the "Following" convention mentioned above.

The Euribor1M maturity date

As we explained above the settlement days is 2 for Euribor1M, so by adding 2 days to the trade date we get

We notice that the above date is is a weekend day, so by applying the "ModifiedFollowing" convention mentioned above, we get the following date

Finally because the Euribor1M's tenor is 1M, the maturity date is obtained by adding 1M to the previous date and we get

As we can see the computed date is a business day and we have in iso format

The other maturity dates

By applying the same reasoning as before for Euribor 1M, we easily compute that the other maturities dates are:

The zero curve constructed

Below is the table rates with the related computed maturity dates. Let's recall that the deposit rates are expressed with Actual/360 day count convention and Simple compounding.