| InterpolationType | |
|---|---|
| 0 | PiecewiseFlatForward |
| 1 | PiecewiseLogLinearDiscount |
| 2 | PiecewiseLinearForward |
| 3 | PiecewiseLinearZero |
| 4 | PiecewiseCubicZero |
| 5 | PiecewiseKrugerZero |
Yield Curves
Why?
Our software builds right into your existing data architecture, for example into Azure Synapse Analytics, AWS EMR, or a on-premises Spark installation. It provides a direct, data driven way of doing speciliased calculations with maximum traceability and introspection.
The majority of the underlying calculations in this section are implemented using the QuantLib open source library.
Bootstrapping a yield curve from OIS market quotes
These are the available types of yield curves. They are formed by combination of type of interpolation (linear, flat, etc) and what is being interpolated (forward rates, discount factors, or zero rates). Below is a selection of the available types, see documentation for more detail:
Here is some illustrative (obviously synthetic) market data for Overnight Index Swaps on the USD Sofr rate.
| settleDays | tenor | rate | index | refDate | |
|---|---|---|---|---|---|
| USOFR1M BGN Curncy | 2 | 1M | 0.049 | Sofr | 2022-05-01 |
| USOFR6M BGN Curncy | 2 | 6M | 0.050 | Sofr | 2022-05-01 |
| USOFR1 BGN Curncy | 2 | 1Y | 0.052 | Sofr | 2022-05-01 |
| USOFR3 BGN Curncy | 2 | 3Y | 0.051 | Sofr | 2022-05-01 |
| USOFR5 BGN Curncy | 2 | 5Y | 0.050 | Sofr | 2022-05-01 |
| rates | dates | yieldcurvetypes | |
|---|---|---|---|
| 0 | 0.048907 | 2021-02-03 | PiecewiseFlatForward |
| 1 | 0.048907 | 2023-03-22 | PiecewiseFlatForward |
| 2 | 0.049469 | 2023-08-22 | PiecewiseFlatForward |
| 3 | 0.051948 | 2024-02-22 | PiecewiseFlatForward |
| 4 | 0.049211 | 2026-02-23 | PiecewiseFlatForward |
| 5 | 0.047156 | 2028-02-22 | PiecewiseFlatForward |
| 6 | 1.000000 | 2021-02-03 | PiecewiseLogLinearDiscount |
| 7 | 0.899823 | 2023-03-22 | PiecewiseLogLinearDiscount |
| 8 | 0.881102 | 2023-08-22 | PiecewiseLogLinearDiscount |
| 9 | 0.858016 | 2024-02-22 | PiecewiseLogLinearDiscount |
| 10 | 0.776317 | 2026-02-23 | PiecewiseLogLinearDiscount |
| 11 | 0.705615 | 2028-02-22 | PiecewiseLogLinearDiscount |
| 12 | 0.048907 | 2021-02-03 | PiecewiseLinearForward |
| 13 | 0.048907 | 2023-03-22 | PiecewiseLinearForward |
| 14 | 0.050031 | 2023-08-22 | PiecewiseLinearForward |
| 15 | 0.053866 | 2024-02-22 | PiecewiseLinearForward |
| 16 | 0.044436 | 2026-02-23 | PiecewiseLinearForward |
| 17 | 0.049946 | 2028-02-22 | PiecewiseLinearForward |
| 18 | 0.048907 | 2021-02-03 | PiecewiseLinearZero |
| 19 | 0.048907 | 2023-03-22 | PiecewiseLinearZero |
| 20 | 0.048999 | 2023-08-22 | PiecewiseLinearZero |
| 21 | 0.049486 | 2024-02-22 | PiecewiseLinearZero |
| 22 | 0.049376 | 2026-02-23 | PiecewiseLinearZero |
| 23 | 0.048746 | 2028-02-22 | PiecewiseLinearZero |
| 24 | 0.048907 | 2021-02-03 | PiecewiseCubicZero |
| 25 | 0.048907 | 2023-03-22 | PiecewiseCubicZero |
| 26 | 0.048999 | 2023-08-22 | PiecewiseCubicZero |
| 27 | 0.049486 | 2024-02-22 | PiecewiseCubicZero |
| 28 | 0.049376 | 2026-02-23 | PiecewiseCubicZero |
| 29 | 0.048741 | 2028-02-22 | PiecewiseCubicZero |
| 30 | 0.048907 | 2021-02-03 | PiecewiseKrugerZero |
| 31 | 0.048907 | 2023-03-22 | PiecewiseKrugerZero |
| 32 | 0.048999 | 2023-08-22 | PiecewiseKrugerZero |
| 33 | 0.049486 | 2024-02-22 | PiecewiseKrugerZero |
| 34 | 0.049376 | 2026-02-23 | PiecewiseKrugerZero |
| 35 | 0.048741 | 2028-02-22 | PiecewiseKrugerZero |
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