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Report generated 11-04-2023 10:42

Bootstrapping Yield Curve

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Yield curve construction with deposits without calendar
Steps Outcome
Given the following deposit instruments with the trade date 2021-05-06
instrument namecurrency codesettlement daysmaturityrate
Deposit1DEUR01D0.0440
Deposit1MEUR01M0.0450
Deposit2MEUR02M0.0460
Deposit3MEUR03M0.0470
Deposit6MEUR06M0.0490
Deposit9MEUR09M0.0500
Deposit1YEUR01Y0.0520
SUCCESS 004ms
When the bootstrapping method is used to build the zero curve "curveName"
SUCCESS 001ms
Then the computed zero-coupons by maturity date should be
maturity datezero coupon
2021-05-070.04399731
2021-06-060.04641014
2021-07-060.04658535
2021-08-060.0477582
2021-11-060.04947194
2022-02-060.05015582
2022-05-060.0513794

SUCCESS 013ms
SUCCESS 0.03s
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