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Bootstrapping at par rate

Bootstrapping at par rate. Ellen Bjarnadóttir Mushegh Khalatyan Koorosh Feizi. The data given. Par rates Start dates/Maturity dates. The first steps. The O/N discount factor and zero rates and . The generalized formula for discount factor and zero rates up to the forward rate:.

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Bootstrapping at par rate

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  1. Bootstrapping at par rate Ellen Bjarnadóttir Mushegh Khalatyan Koorosh Feizi

  2. The data given • Par rates • Start dates/Maturity dates The first steps The O/N discount factor and zero rates and The generalized formula for discount factor and zero rates up to the forward rate: and

  3. The stub rate • Calculating the zero rate of the STUB (using linear interpolation) • Now, when we have the zero rates for the STUB, we calculate the discount factor for the STUB

  4. fra rates • Discount factor • Zero rate

  5. Approximation of swap rate • Use linear interpolation for the swap rate to calculate 1Y, 2Y, 3Y and up to 29Y • Use formula for the discount factor

  6. Swap rates • Using those results of discount factors for the dates in between we get the discount factors and zero rates for the SWAPs for actual dates that we have got • Where • Now we can calculate the zero rate for the swaps

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

  8. Discount Factor

  9. The rates

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