Valuation models
Zero curve builder
Bootstrap a discount curve from deposits and par swaps, and read off discount factors, zero rates and forwards.
Instruments
Presets are illustrative curve shapes, not live market data.
| Type | Tenor | Rate % | Frequency | |
|---|---|---|---|---|
Zero and forward curve
Methodology
Conventions
- Deposits are simple-interest rates on the chosen day count; swaps are par fixed rates against an overnight-indexed floating leg; bonds are par yields.
- Pillars are solved one at a time from the shortest instrument, so each instrument reprices exactly.
- Zero rates are shown continuously compounded; forwards are simply compounded over the forward tenor.
References
- Hagan and West (2006), Interpolation methods for curve construction
- Hull, ch. 4 and 7
Formulas
- Deposit
- DF(T) = 1 / (1 + r · τ(0,T))
- Par swap
- S · Σ τᵢ DF(tᵢ) = 1 − DF(Tₙ) ⇒ solve DF(Tₙ)
- Zero rate
- z(T) = −ln DF(T) / T
- Forward
- F(t, t+δ) = (DF(t) / DF(t+δ) − 1) / δ
The bootstrap runs on the analytics core.