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Bootstrap Swaps in a multi curve framework

Bootstrap Swaps in a multi curve framework. KINDA SUMLAJI TANVI AHUJA ASHOT KHALATYAN . Needs to be bootstraped ?. Discount factor for EONIA 1 month Forward rate from 1 month curve 3 month Forward rate from 3 month curve Discount factor for 6 month. THE GIVEN DATA.

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Bootstrap Swaps in a multi curve framework

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  1. Bootstrap Swaps in a multicurveframework KINDA SUMLAJI TANVI AHUJA ASHOT KHALATYAN

  2. Needs to be bootstraped? • Discountfactor for EONIA • 1 month Forward rate from 1 monthcurve • 3 month Forward rate from 3 monthcurve • Discountfactor for 6 month THE GIVEN DATA • Market Rates • Start dates and maturity dates • A swap for 20 yearsmaturity and 3month tenor

  3. Forward Rate Agreement(FRA)

  4. DiscountFactorformula (swaps): • If the market value of n=11 is missing, thenweuse market • value of n=10, and n=12 (INTRAPOLATION METHOD). • Wecanuse the market value of n=9,n=10 to calculate the • missing market value n=11(EXTRAPOLATION METHOD).

  5. The Formula for interpolation is : To calculate D11 weneed to calculate D12 first, the formula is:

  6. Forward rates • Finally we’ve got all the variables which are needed for calculating the Forward rates

  7. Swap rates The par rate for a Swap is calculated as:

  8. EONIA DiscountFactor

  9. 6 M DiscountFactor

  10. 1 month

  11. 3 month

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