- Joined
- 9/16/19
- Messages
- 7
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- 11
Hi all,
So at the Firm at which I am working I had to bootstrap the LIBOR curve to get the discount factor over various maturities. I did the calculations on excel and was able to compute the discount factors. I have to now do the same operation on python but I am quite confused on what functions to implement. I have used an old code and modified to my needs (link to code attached), but I am getting an error, invalid syntax : print depoFuturesSwapCurve.dates()
My curve input is the LIBOR 3m for tenors from 1 month to 10 years. I would like to know how to go about this. If needed for reference I can provide the Excel file as well.
khandrikacm.blogspot.com
Thank you,
Best,
Goutham
So at the Firm at which I am working I had to bootstrap the LIBOR curve to get the discount factor over various maturities. I did the calculations on excel and was able to compute the discount factors. I have to now do the same operation on python but I am quite confused on what functions to implement. I have used an old code and modified to my needs (link to code attached), but I am getting an error, invalid syntax : print depoFuturesSwapCurve.dates()
My curve input is the LIBOR 3m for tenors from 1 month to 10 years. I would like to know how to go about this. If needed for reference I can provide the Excel file as well.
USD Yield Curve building using Python and Quantlib
Yield Curve is fundamental building block in the pricing of Interest rate Derivative products.An Yield Curve constructed using US governmen...
khandrikacm.blogspot.com
Thank you,
Best,
Goutham
