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.

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Presentation transcript:

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 Market Rates Start dates and maturity dates A swap for 20 years maturity and 3month tenor

Forward Rate Agreement(FRA)

Discount Factor formula (swaps): If the market value of n=11 is missing, then we use market value of n=10, and n=12 (INTRAPOLATION METHOD). We can use the market value of n=9,n=10 to calculate the missing market value n=11(EXTRAPOLATION METHOD).

The Formula for interpolation is : To calculate D11 we need to calculate D12 first, the formula is:

Forward rates

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

EONIA Discount Factor

6 M Discount Factor

1 month

3 month