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As cross-market bond trading has increased, it has become vital for international participants to understand the many different features that characterize the various international bond markets. Of particular interest to bond traders and investors are factors such as calculation of prices, accrued interest, yields, and durations. Bond Markets compares and contrasts all major bond markets.", "series": "", "seriesNumber": "", "volume": "", "numberOfVolumes": "", "edition": "", "date": "1998", "publisher": "Glenlake Pub. 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This paper recovers and extends our previous work to the modern multiple-curve bootstrapping of both discounting and FRA yield curves, consistently with the funding of market instruments. The theoretical pricing framework is introduced and modern pricing formulas for plain vanilla interest rate derivatives, such as Deposits, Forward Rate Agreements (FRA), Futures, Swaps, OIS, and Basis Swaps, are derived from scratch. The concrete EUR market case is worked out, and many details are discussed regarding the selection of market instruments, synthetic market quotes, smooth interpolation, effect of OIS discounting, possible negative rates, turn of year effect, local vs non local delta sensitivities, performance and yield curve sanity checks. The implementation of the proposed algorithms is available open source within the QuantLib framework.", "reportNumber": "ID 2219548", "reportType": "SSRN Scholarly Paper", "institution": "Social Science Research Network", "place": "Rochester, NY", "date": "2013/04/02", "seriesTitle": "", "seriesNumber": "", "pages": "", "DOI": "", "ISBN": "", "citationKey": "", "url": "http://papers.ssrn.com/abstract=2219548", "accessDate": "2013-08-20T09:24:55Z", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "papers.ssrn.com", "callNumber": "", "rights": "", "extra": "", "tags": [ { "tag": "Basis Swap", "type": 1 }, { "tag": "CSA", "type": 1 }, { "tag": "Deposit", "type": 1 }, { "tag": "EONIA", "type": 1 }, { "tag": "Euribor", "type": 1 }, { "tag": "FRA", "type": 1 }, { "tag": "Future", "type": 1 }, { "tag": "Greeks", "type": 1 }, { "tag": "IRS", "type": 1 }, { "tag": "Libor", "type": 1 }, { "tag": "OIS", "type": 1 }, { "tag": "QuantLib", "type": 1 }, { "tag": "Spline", "type": 1 }, { "tag": "Swap", "type": 1 }, { "tag": "Yield curve", "type": 1 }, { "tag": "bootstrapping", "type": 1 }, { "tag": "collateral", "type": 1 }, { "tag": "counterparty risk", "type": 1 }, { "tag": "credit", "type": 1 }, { "tag": "crisis", "type": 1 }, { "tag": "crunch", "type": 1 }, { "tag": "derivatives", "type": 1 }, { "tag": "discount curve", "type": 1 }, { "tag": "funding", "type": 1 }, { "tag": "hedging", "type": 1 }, { "tag": "liquidity", "type": 1 }, { "tag": "no-arbitrage", "type": 1 }, { "tag": "pricing", "type": 1 }, { "tag": "sensitivity", "type": 1 }, { "tag": "turn of year", "type": 1 } ], "collections": [], "relations": {}, "dateAdded": "2013-09-04T07:36:03Z", "dateModified": "2013-09-04T07:36:03Z" } }, { "key": "NMFDSPKU", "version": 35, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/NMFDSPKU", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/NMFDSPKU", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/138811/items/CQVRUQQ7", "type": "application/json" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } } }, "data": { "key": "NMFDSPKU", "version": 35, "parentItem": "CQVRUQQ7", "itemType": "attachment", "linkMode": "linked_url", "title": "delivery.php?ID=131074121084086066089107001090102093109023030014084091014027006126031069108084015090035056097013011097115069064031021083017113027020011005061091099094117104000080093061020081064096080028113112020024125110&EXT=pdf", "accessDate": "2013-08-21T13:24:32Z", "url": "http://poseidon01.ssrn.com/delivery.php?ID=131074121084086066089107001090102093109023030014084091014027006126031069108084015090035056097013011097115069064031021083017113027020011005061091099094117104000080093061020081064096080028113112020024125110&EXT=pdf", "note": "", "contentType": "", "charset": "", "tags": [], "relations": {}, "dateAdded": "2013-09-04T07:36:03Z", "dateModified": "2013-09-04T07:36:03Z" } }, { "key": "B2H8BIPC", "version": 34, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/B2H8BIPC", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/B2H8BIPC", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "creatorSummary": "BIS, Monetary and Economic Department", "parsedDate": "2005-10", "numChildren": 0 }, "data": { "key": "B2H8BIPC", "version": 34, "itemType": "book", "title": "Zero-coupon yield curves: technical documentation, BIS Papers No 25, October 2005 - bispap25.pdf", "creators": [ { "creatorType": "author", "name": "BIS, Monetary and Economic Department" } ], "abstractNote": "", "series": "", "seriesNumber": "", "volume": "", "numberOfVolumes": "", "edition": "", "date": "October 2005", "publisher": "Bank for Internat. Settlements", "place": "Basel", "originalDate": "", "originalPublisher": "", "originalPlace": "", "format": "", "numPages": "", "ISBN": "9291316652 9789291316656", "DOI": "", "citationKey": "", "url": "http://www.bis.org/publ/bppdf/bispap25.pdf", "accessDate": "2013-03-08T12:08:35Z", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "Zero-coupon yield curves", "language": "English", "libraryCatalog": "Open WorldCat", "callNumber": "", "rights": "", "extra": "© Bank for International Settlements 2005. All rights reserved. Brief excerpts may be reproduced or\ntranslated provided the source is stated.", "tags": [ { "tag": "Yield curve" } ], "collections": [], "relations": {}, "dateAdded": "2013-09-04T07:31:17Z", "dateModified": "2013-09-04T07:31:17Z" } }, { "key": "BDQEPUND", "version": 34, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/BDQEPUND", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/BDQEPUND", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "creatorSummary": "Marazzina", "parsedDate": "2007", "numChildren": 0 }, "data": { "key": "BDQEPUND", "version": 34, "itemType": "report", "title": "Interest Rate Modeling: A Matlab Implementation", "creators": [ { "creatorType": "author", "firstName": "Daniele", "lastName": "Marazzina" } ], "abstractNote": "The aim of this work is to present a Matlab implementation of different methods for estimating the term structure of interest rate. More precisely, we implement the exponential functional form of Nelson-Siegel and polynomial spline methods (with or without penalty term), considering both coupon bonds, like Italian Btp, and Libor and Swap interest rates. Furthermore, we compare the models'performances, considering both computational costs and approximation results.", "reportNumber": "112", "reportType": "Working Paper", "institution": "SEMEQ Department - Faculty of Economics - University of Eastern Piedmont", "place": "", "date": "2007", "seriesTitle": "", "seriesNumber": "", "pages": "", "DOI": "", "ISBN": "", "citationKey": "", "url": "http://ideas.repec.org/p/upo/upopwp/112.html", "accessDate": "2013-03-14T07:45:37Z", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "Interest Rate Modeling", "language": "", "libraryCatalog": "RePEc - IDEAS", "callNumber": "", "rights": "", "extra": "", "tags": [ { "tag": "Interest Rate", "type": 1 }, { "tag": "Italian Market", "type": 1 }, { "tag": "Matlab", "type": 1 }, { "tag": "Spline", "type": 1 }, { "tag": "Term Structure", "type": 1 } ], "collections": [], "relations": {}, "dateAdded": "2013-09-04T07:31:04Z", "dateModified": "2013-09-04T07:31:04Z" } }, { "key": "QR6ITR87", "version": 33, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/QR6ITR87", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/QR6ITR87", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/138811/items/T2TN2A25", "type": "application/json" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "numChildren": 0 }, "data": { "key": "QR6ITR87", "version": 33, "parentItem": "T2TN2A25", "itemType": "note", "note": "

MULTIPLE YIELD CURVES CONSTRUCTION
FOR MARKET COHERENT FORWARD RATES ESTIMATION

", "tags": [], "relations": {}, "dateAdded": "2013-09-04T07:30:06Z", "dateModified": "2013-09-04T07:30:06Z" } }, { "key": "T2TN2A25", "version": 33, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/T2TN2A25", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/T2TN2A25", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "creatorSummary": "Ametrano and Bianchetti", "parsedDate": "2009-05-01", "numChildren": 1 }, "data": { "key": "T2TN2A25", "version": 33, "itemType": "report", "title": "Bootstrapping the illiquidity", "creators": [ { "creatorType": "author", "firstName": "F.", "lastName": "Ametrano" }, { "creatorType": "author", "firstName": "MARCO", "lastName": "Bianchetti" } ], "abstractNote": "The large basis spreads observed on the interest rate market since the liquidity crisis of summer 2007 imply that di®erent yield curves are required for market coherent estimation of forward rates with di®erent tenors (e.g. Euribor 3 months, Euribor 6 months, etc.).\nIn this paper we review the methodology for bootstrapping multiple interest rate yield curves, each homogeneous in the underlying rate\ntenor, from non-homogeneous plain vanilla instruments quoted on the market, such as Deposits, Forward Rate Agreements, Futures, Swaps, and Basis Swaps. The approach includes turn of year e®ects and is robust to deliver smooth yield curves and to ensure non-negative rates\nalso in highly stressed market situations, characterized by crazy roller coaster shapes of the market quotations.\nThe concrete EUR market case is analyzed in detail, using the open source QuantLib implementation of the proposed algorithms.", "reportNumber": "ID 1371311", "reportType": "SSRN Scholarly Paper", "institution": "Social Science Research Network", "place": "Rochester, NY", "date": "2009/05/01", "seriesTitle": "", "seriesNumber": "", "pages": "", "DOI": "", "ISBN": "", "citationKey": "", "url": "http://www.bianchetti.org/Finance/BootstrappingTheIlliquidity-v1.0.pdf", "accessDate": "2013-02-13T08:17:46Z", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "Bootstrapping the Illiquidity", "language": "", "libraryCatalog": "papers.ssrn.com", "callNumber": "", "rights": "", "extra": "", "tags": [ { "tag": "Basis Swap", "type": 1 }, { "tag": "Deposit", "type": 1 }, { "tag": "FRA", "type": 1 }, { "tag": "Futures", "type": 1 }, { "tag": "Interest rates", "type": 1 }, { "tag": "Liquidity crisis", "type": 1 }, { "tag": "QuantLib", "type": 1 }, { "tag": "Spline", "type": 1 }, { "tag": "Swap", "type": 1 }, { "tag": "Yield curve", "type": 1 }, { "tag": "bootstrapping", "type": 1 }, { "tag": "credit crunch", "type": 1 }, { "tag": "discount curve", "type": 1 }, { "tag": "forward curve", "type": 1 }, { "tag": "hedging", "type": 1 }, { "tag": "interest rate derivatives", "type": 1 }, { "tag": "pricing", "type": 1 }, { "tag": "turn of year", "type": 1 } ], "collections": [], "relations": {}, "dateAdded": "2013-09-04T07:30:06Z", "dateModified": "2013-09-04T07:30:06Z" } }, { "key": "PMVT7V64", "version": 32, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/PMVT7V64", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/PMVT7V64", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "creatorSummary": "Liang", "parsedDate": "1999", "numChildren": 0 }, "data": { "key": "PMVT7V64", "version": 32, "itemType": "book", "title": "The Java Native interface: programmer's guide and specification", "creators": [ { "creatorType": "author", "firstName": "Sheng", "lastName": "Liang" } ], "abstractNote": "\"The Java Native Interface (JNI) enables the integration of code written in the Java programming language with code written in other languages such as C and C++. It allows programmers to take full advantage of the Java platform without having to abandon their investment in legacy code.\"--BOOK JACKET. \"This book is the definitive resource and a comprehensive guide to working with the JNI. 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MATLAB & Simulink - MathWorks Deutschland", "creators": [ { "creatorType": "author", "name": "MathWorks" } ], "abstractNote": "", "websiteTitle": "Equation Solving Algorithms", "websiteType": "Documentation", "date": "", "publisher": "", "place": "", "DOI": "", "citationKey": "", "url": "http://www.mathworks.de/de/help/optim/ug/equation-solving-algorithms.html", "accessDate": "2013-02-04T12:33:55Z", "shortTitle": "", "language": "", "rights": "© 1994-2013 The MathWorks, Inc.", "extra": "", "tags": [ { "tag": "LVM" }, { "tag": "Levenberg-Marquardt" }, { "tag": "curve-fitting" } ], "collections": [], "relations": {}, "dateAdded": "2013-02-04T12:33:55Z", "dateModified": "2013-02-04T12:35:57Z" } }, { "key": "XU4K8TWA", "version": 1, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/XU4K8TWA", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/XU4K8TWA", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "creatorSummary": "Rod Pienaar and Moorad Choudhry", "numChildren": 0 }, "data": { "key": "XU4K8TWA", "version": 1, "itemType": "document", "title": "Fitting the term structure of interest rates: the practical implementation of cubic spline methodology", "creators": [ { "creatorType": "author", "name": "Rod Pienaar" }, { "creatorType": "author", "name": "Moorad Choudhry" } ], "abstractNote": "Fitting the term structure of interest rates\nThe term structure of interest rates defines the set of spot or zero-coupon rates that exist in a debt capital market, of default-free bonds, distinguished only by their term to maturity. In practice the term structure is defined as the array of discount factors on the same maturity term. Extracting the term structure from market interest rates has been the focus of extensive research, reflecting its importance in the field of finance.\nThe term structure is used by market practitioners for valuation purposes and by central banks for forecasting purposes. The accurate fitting of the term structure is vital to the smooth functioning of the market. A number of approaches have been proposed with which to undertake this, and the method chosen is governed by the user’s requirements. Practitioners desire an approach that is accessible, straightforward to implement and as accurate as possible. In general there are two classes of curve fitting techniques; the parametric methods, so-called because they attempt to model the yield curve using a parametric function; and the spline methods.1 Parametric methods include the Nelson-Siegel model and a modification of this proposed by Svensson (1994, 1995), as well as models described by Wiseman (1994) and Bjork and Christensen (1997).2 James and Webber (2000) suggest that these methods produce a satisfactory overall shape for the term structure but are suitable only where good accuracy is not required.3 Market practitioners instead generally prefer an approach that gives a reasonable trade-off between accuracy and ease of implementation, an issue we explore in this article.\nThe cubic spline process presents no conceptual problems, and is an approximation of the market discount function. McCulloch (1975) uses cubic splines and Beim (1992) states that this approach performs at least as satisfactorily as other methods.4 Although the basic approach can lead to unrealistic shapes for the forward curve (for example, see Vasicek and Fong (1982) and their suggested improvement on the approach using exponential splines), it is an accessible method and one that gives reasonable accuracy for the spot rate curve. Adams and Van Deventer (1994) illustrate using the technique to obtain maximum smoothness for forward curves (and an extension to quartic splines), while the basic technique has been improved as described by Fisher, Nychka and Zervos (1995), Waggoner (1997) and Anderson and Sleath (1999). These references are considered later.\nSplines are a non-parametric polynomial interpolation method.5 There is more than one way of fitting them. The simplest method is an ordinary least squares regression spline, but this approach produces wildly oscillating curves. The more satisfactory is a smoothing splines method. We consider the basic approach and how to implement it in this article.", "type": "", "date": "", "publisher": "", "place": "", "DOI": "", "citationKey": "", "url": "http://www.yieldcurve.com/Mktresearch/files/PienaarChoudhry_CubicSpline2.pdf", "accessDate": "2013-01-16T13:55:32Z", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2013-01-21T09:58:16Z", "dateModified": "2013-01-21T09:58:16Z" } }, { "key": "E7G4QE2T", "version": 2, "library": { "type": "group", "id": 138811, "name": "Computational Finance", "links": { "alternate": { "href": "https://www.zotero.org/groups/computational_finance", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/138811/items/E7G4QE2T", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/computational_finance/items/E7G4QE2T", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1260635, "username": "hjuergens", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/hjuergens", "type": "text/html" } } }, "creatorSummary": "Henri Gavin", "parsedDate": "2011-09-28", "numChildren": 0 }, "data": { "key": "E7G4QE2T", "version": 2, "itemType": "document", "title": "The Levenberg-Marquardt method for nonlinear least squares curve-fitting problems", "creators": [ { "creatorType": "author", "name": "Henri Gavin" } ], "abstractNote": "The Levenberg-Marquardt method is a standard technique used to solve nonlinear\nleast squares problems. Least squares problems arise when fitting a parameterized\nfunction to a set of measured data points by minimizing the sum of the squares of\nthe errors between the data points and the function. Nonlinear least squares problems\narise when the function is not linear in the parameters. Nonlinear least squares methods\ninvolve an iterative improvement to parameter values in order to reduce the sum\nof the squares of the errors between the function and the measured data points. The\nLevenberg-Marquardt curve-fitting method is actually a combination of two minimization\nmethods: the gradient descent method and the Gauss-Newton method. In the\ngradient descent method, the sum of the squared errors is reduced by updating the parameters\nin the direction of the greatest reduction of the least squares objective. In the\nGauss-Newton method, the sum of the squared errors is reduced by assuming the least\nsquares function is locally quadratic, and finding the minimum of the quadratic. The\nLevenberg-Marquardt method acts more like a gradient-descent method when the parameters\nare far from their optimal value, and acts more like the Gauss-Newton method\nwhen the parameters are close to their optimal value. This document describes these\nmethods and illustrates the use of software to solve nonlinear least squares curve-fitting\nproblems.", "type": "", "date": "2011 September 28", "publisher": "", "place": "", "DOI": "", "citationKey": "", "url": "http://people.duke.edu/~hpgavin/ce281/lm.pdf", "accessDate": "2013-01-16T10:46:19Z", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "", "callNumber": "", "rights": "", "extra": "", "tags": [ { "tag": "Levenberg-Marquardt" }, { "tag": "curve-fitting" } ], "collections": [], "relations": {}, "dateAdded": "2013-01-16T10:48:30Z", "dateModified": "2013-01-16T10:48:30Z" } } ]