Matching the Bloomberg Curve S45 with QuantLib

8 Pages Posted: 27 Jul 2020

See all articles by Peter Caspers

Peter Caspers

Acadia Inc.

Andrea Palermo

affiliation not provided to SSRN

Date Written: June 28, 2020

Abstract

In this short note we summarise one of the results achieved in a project conducted by SoftSolutions! with the goal of aligning some of the bond analytics result in their system nexRates with those that are produced in Bloomberg. By adding a global bootstrapper to the QuantLib library we are able to apply a certain smoothing algorithm to the Euribor 6M curve bootstrapping. Thereby we achieve a very close match of the corresponding Bloomberg S45 curve, which is the basis for the computation of the Z-Spread for bonds.

Keywords: Interest Rate Curve, Bloomberg

JEL Classification: C00, G10

Suggested Citation

Caspers, Peter and Palermo, Andrea, Matching the Bloomberg Curve S45 with QuantLib (June 28, 2020). Available at SSRN: https://ssrn.com/abstract=3640517 or http://dx.doi.org/10.2139/ssrn.3640517

Peter Caspers (Contact Author)

Acadia Inc. ( email )

United States

HOME PAGE: http://acadiasoft.com

Andrea Palermo

affiliation not provided to SSRN

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