LIBOR Curve Exercise Day Tenor Instrument Rate Type Compounding O/N CASH ACT/360 F 3.93500 T/N CASH ACT/360 F 3.97500 1W CASH ACT/360 F 4.00500 1M CASH ACT/360 F 3.99500 3M CASH ACT/360 F 4.00500 6M CASH ACT/360 F 4.04500 9M CASH ACT/360 F 4.10500 1Y CASH ACT/360 F 4.21500 2Y SWAP 30/360 A 4.52500 3Y SWAP 30/360 A 4.75500 4Y SWAP 30/360 A 4.88500 5Y SWAP 30/360 A 4.95500 6Y SWAP 30/360 A 4.99500 7Y SWAP 30/360 A 5.03500 8Y SWAP 30/360 A 5.06500 9Y SWAP 30/360 A 5.08500 10Y SWAP 30/360 A 5.08500 20Y SWAP 30/360 A 5.08500 Problem Set 1: LIBOR Curve Pre-requisites Have successfully completed MD1- Curve Building in Practice Have reviewed in detail basic concepts Chapter 8 p.(28-35) Problem Build a yield curve from cash and swap rates. Calculate the following: Zero coupon curve Day count basis Discount factors, zero coupon rates and their corresponding gradients Generate the following:
LIBOR Curve Exercise Tenor Instrument Rate Day Type Compounding O/N CASH 3.93500 ACT/360 F T/N CASH 3.97500 ACT/360 F 1W CASH 4.00500 ACT/360 F 1M CASH 3.99500 ACT/360 F 3M CASH 4.00500 ACT/360 F 6M CASH 4.04500 ACT/360 F 9M CASH 4.10500 ACT/360 F 1Y CASH 4.21500 ACT/360 F 2Y SWAP 4.52500 30/360 A 3Y SWAP 4.75500 30/360 A 4Y SWAP 4.88500 30/360 A 5Y SWAP 4.95500 30/360 A 6Y SWAP 4.99500 30/360 A 7Y SWAP 5.03500 30/360 A 8Y SWAP 5.06500 30/360 A 9Y SWAP 5.08500 30/360 A 10Y SWAP 5.08500 30/360 A 20Y SWAP 5.08500 30/360 A Problem Set 1: LIBOR Curve Pre-requisites Have successfully completed MD1- Curve Building in Practice Have reviewed in detail basic concepts Chapter 8 p.(28-35) Problem Build a yield curve from cash and swap rates. Calculate the following: Zero coupon curve Day count basis Discount factors, zero coupon rates and their corresponding gradients Generate the following:
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