Worksheet Title

3.1 Market data

3.2 Worksheet to generate the cashflows of a generic USD swap
3.3 Worksheet to demonstrate the discovery of a synthetic par bond
3.4 Worksheet to generate the fixed cashflows of a generic USD swap
3.5 Worksheet to calculate a discount curve using linear interpolation on the swap curv
3.6 Details of Hermitian Interpolation
3.7 Worksheet to calculate a discount curve using Hermite interpolation on the swap cu
3.8 Worksheet to calculate a discount curve using an optimisation approach
3.9 Building a blended curve using optimisation

rpolation on the swap curve and different methods on the discount curve

terpolation on the swap curve and different methods on the discount curve

ation approach

Today's date:

4-Feb-08

Cash rates

o/n
7-day
1-month
3-month
6-month
12-month

5-Feb-08
11-Feb-08
4-Mar-08
4-May-08
4-Aug-08
4-Feb-09

USD
3.2375%
3.2175%
3.1813%
3.1450%
3.0975%
2.8963%

6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-20
6-Feb-23
7-Feb-28
7-Feb-33
8-Feb-38

ANN
Act/360
2.795%
2.795%
3.035%
3.275%
3.505%
3.715%
3.885%
4.025%
4.155%
4.265%
4.435%
4.615%
4.755%
4.805%
4.815%

Swap rates (mid)

Years
1
2
3
4
5
6
7
8
9
10
12
15
20
25
30
against

Deposit Futures

3mo Libor

Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Sep-13
Dec-13
Mar-14
Jun-14
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
Dec-16
Mar-17
Jun-17
Sep-17
Dec-17

19-Mar-08
18-Jun-08
17-Sep-08
17-Dec-08
18-Mar-09
17-Jun-09
16-Sep-09
16-Dec-09
17-Mar-10
16-Jun-10
15-Sep-10
15-Dec-10
16-Mar-11
15-Jun-11
21-Sep-11
21-Dec-11
21-Mar-12
20-Jun-12
19-Sep-12
19-Dec-12
20-Mar-13
19-Jun-13
18-Sep-13
18-Dec-13
19-Mar-14
18-Jun-14
17-Sep-14
17-Dec-14
18-Mar-15
17-Jun-15
16-Sep-15
16-Dec-15
16-Mar-16
15-Jun-16
21-Sep-16
21-Dec-16
15-Mar-17
21-Jun-17
20-Sep-17
20-Dec-17

97.000
97.410
97.520
97.495
97.395
97.220
97.040
96.850
96.665
96.495
96.340
96.200
96.060
95.930
95.800
95.675
95.565
95.450
95.335
95.225
95.140
95.045
94.955
94.860
94.785
94.710
94.645
94.570
94.515
94.460
94.410
94.350
94.315
94.275
94.235
94.185
94.165
94.145
94.120
94.080

3.2: Worksheet to generate the cashflows of a generic USD swap

Trade date:

4-Feb-08

Settlement date:
Notional principal:
Maturity:
To receive fixed rate:
To pay floating rate:
First Libor fixing:

6-Feb-08
100
7
3.885%
3
3.145%

million
years
ANN, Act/360
mo. Libor

Trade date:

4-Feb-08

Settlement date:
Notional principal:
Maturity:
To receive fixed rate
To pay floating rate:
First Libor fixing:

6-Feb-08
100
7
3.885%
3
3.145%

million
years
ANN, Act/360
mo. Libor
3.8839%

Days
(Act/360)
3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256

Fixed
cashflows

3,949,750.00

3,960,541.67

3,928,166.67

3,928,166.67

3,949,750.00

3,938,958.33

3,938,958.33

Floating
cashflows
-786,250
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15

Fixed
cashflows
-100,000,000

3,949,750

3,960,542

3,928,167

3,928,167

3,949,750

3,938,958

103,938,958

Floating
cashflows
100,000,000
-786,250
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-(Libor+100,000,000)

Yield-based
DFs
1

0.962002

0.925350

0.890377

0.856726

0.824172

0.792939

0.762889
1.3411045E-007

3.3: Worksheet to demonstrate the discovery of a synthetic par bond

Today's date:

4-Feb-08

US benchmark bonds

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Time to
maturity

YTM
sa

6-Feb-08
Jan-10
Jan-13
Nov-17
May-37

1.942
4.945
9.781
29.290

1.94%
2.66%
3.58%
4.34%

4-Feb-15

7.000

3.051%

6-Feb-08
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-19
6-Feb-20
8-Feb-21
7-Feb-22
6-Feb-23
6-Feb-24
6-Feb-25
6-Feb-26
8-Feb-27
7-Feb-28

2.008
3.005
4.003
5.005
6.005
7.005
8.011
9.008
10.008
11.008
12.008
13.016
14.014
15.011
16.011
17.014
18.014
19.019
20.016

gradient

spread

Yield
+ spread

0.0024
0.0019
0.0004

87.00
86.00
70.00
48.00

2.8100%
3.5200%
4.2800%
4.8200%

85.00

3.9009%

interpolated
yields

spread
(bp)

swap
rates

1.956%
2.195%
2.434%
2.671%
2.862%
3.052%
3.243%
3.433%
3.589%
3.628%
3.667%
3.706%
3.745%
3.784%
3.823%
3.862%
3.901%
3.940%
3.979%

85.83
85.89
85.94
85.12
87.01
84.89
79.68
73.62
68.96

2.795%
3.035%
3.275%
3.505%
3.715%
3.885%
4.025%
4.155%
4.265%

78.04

4.435%

84.19

4.615%

78.56

4.755%

21
22
23
24
25
26
27
28
29
30

6-Feb-29
6-Feb-30
6-Feb-31
6-Feb-32
7-Feb-33
6-Feb-34
6-Feb-35
6-Feb-36
6-Feb-37
8-Feb-38

21.016
22.016
23.016
24.016
25.022
26.019
27.019
28.019
29.022
30.027

4.018%
4.057%
4.096%
4.135%
4.174%
4.213%
4.252%
4.290%
4.330%
4.340%

64.01

4.805%

48.37

4.815%

US Benchmark Bond curve

4 February 2008

Ann

Change
daycount

Swap
rates

2.830%
3.551%
4.326%
4.878%

2.791%
3.502%
4.267%
4.811%

2.795%
3.505%
4.265%
4.815%

3.939%

3.885%

3.885%

5.00%

Yield

4.00%
3.00%
2.00%
1.00%
0.00%
0.000

5.000

10.000

7 yr

15

ond curve
2008

000

10.000

7 yr

15.000

20.000

25.000

maturity (yrs)

30.000

3.4: Worksheet to generate the fixed cashflows of a generic USD swap

Trade date:

4-Feb-08

Trade date:

4-Feb-08

Settlement date:
Notional principal:
Maturity:
To receive fixed rate:
To pay floating rate:

6-Feb-08
100
2
2.795%
3

Settlement date:
Notional principal:
Maturity:
To receive fixed rate:
To pay floating rate:

6-Feb-08
100
12
4.435%
3

12 month DF off futures strip

0.972657

12 month DF off futures strip

0.972657

Days
(Act/360)
6-Feb-08
6-Feb-09
8-Feb-10

1.017
1.019

Fixed
cashflows
-100,000,000.00
2,841,583.33
102,849,347.22

million
years
ANN, Act/360
mo. Libor

DFs
1
0.972657
0.945423

0.0000

Days
(Act/360)
6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-19
6-Feb-20

1.017
1.019
1.011
1.011
1.017
1.014
1.014
1.019
1.011
1.014
1.014
1.014

Fixed
cashflows
-100,000,000.00
4,508,916.67
4,521,236.11
4,484,277.78
4,484,277.78
4,508,916.67
4,496,597.22
4,496,597.22
4,521,236.11
4,484,277.78
4,496,597.22
4,496,597.22
104,496,597.22

million
years
ANN, Act/360
mo. Libor

DFs
1
0.972657
0.945423
0.912727
0.876792
0.838268
0.798502
0.759370
0.721110
0.683391
0.647030
0.612962
0.579348

0.0000

3.5: Worksheet to calculate a discount curve using linear interpolation on the swap curve and di

Today's date:

4-Feb-08

Current USD market data

Libor cash
Act/360
7 day
1 mo
3 mo

Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09

2
3
4
5
6
7
8
9
10
12
15
20
25
30

2 yr
3 yr
4 yr
5 yr
6 yr
7 yr
8 yr
9 yr
10 yr
12 yr
15 yr
20 yr
25 yr
30 yr

6-Feb-08
11-Feb-08
4-Mar-08
4-May-08

3.21750%
3.18125%
3.14500%

19-Mar-08
18-Jun-08
17-Sep-08
17-Dec-08
18-Mar-09
17-Jun-09

Futures
3.000%
2.590%
2.480%
2.505%
2.605%
2.780%

8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-20
6-Feb-23
7-Feb-28
7-Feb-33
8-Feb-38

mid swap
ANN Act/360
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.4350%
4.6150%
4.7550%
4.8050%
4.8150%

gradient
-0.0045%
-0.0012%
0.0003%
0.0011%
0.0019%

0.0007%
0.0007%
0.0006%
0.0006%
0.0005%
0.0004%
0.0004%
0.0003%
0.0002%
0.0002%
0.0001%
0.0000%
0.0000%

n on the swap curve and different methods on the discount curve

Linearly Interpolated market data

Cash
rates

Interpolated
Futures
rates

swap
rates

days

[1]

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

6-Feb-08
11-Feb-08
4-Mar-08
4-May-08
6-Aug-08
6-Nov-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-19
6-Feb-20
8-Feb-21
7-Feb-22
6-Feb-23
6-Feb-24
6-Feb-25
6-Feb-26
8-Feb-27
7-Feb-28
6-Feb-29
6-Feb-30
6-Feb-31
6-Feb-32
7-Feb-33
6-Feb-34
6-Feb-35

3.21750%
3.18125%
3.14500%
2.79275%
2.53077%
2.49374%
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.3500%
4.4350%
4.4954%
4.5552%
4.6150%
4.6430%
4.6710%
4.6990%
4.7271%
4.7550%
4.7650%
4.7750%
4.7850%
4.7950%
4.8050%
4.8070%
4.8090%

0.014
0.075
0.244
0.506
0.761
1.017
1.019
1.011
1.011
1.017
1.014
1.014
1.019
1.011
1.014
1.014
1.014
1.022
1.011
1.011
1.014
1.017
1.014
1.019
1.011
1.014
1.014
1.014
1.014
1.019
1.011
1.014

28
29
30

6-Feb-36
6-Feb-37
8-Feb-38

4.8110%
4.8130%
4.8150%

1.014
1.017
1.019

Bootstrapping a swap curve

DF's

DF
gradient

z-c
days

z-c
rates

z-c
gradient

[2]

[3]

[4]

[5]

[6]

1
0.999553
0.997620
0.992371
0.985187
0.978856
0.972657
0.945423
0.912727
0.876792
0.838268
0.798502
0.759370
0.721110
0.683391
0.647030
0.612962
0.579348
0.548414
0.518526
0.489372
0.464415
0.440272
0.417051
0.394549
0.373041
0.354593
0.336928
0.320016
0.303826
0.288248
0.274606
0.261552

-0.00008934
-0.00008789
-0.00008605
-0.00007643
-0.00006881
-0.00006738
-0.00007421
-0.00008982
-0.00009872
-0.00010526
-0.00010895
-0.00010721
-0.00010425
-0.00010362
-0.00009962
-0.00009334
-0.00009209
-0.00008406
-0.00008211
-0.00008009
-0.00006837
-0.00006596
-0.00006362
-0.00006131
-0.00005909
-0.00005054
-0.00004840
-0.00004634
-0.00004436
-0.00004245
-0.00003748
-0.00003576
-0.00003413

0.014
0.075
0.244
0.506
0.761
1.017
2.036
3.047
4.058
5.075
6.089
7.103
8.122
9.133
10.147
11.161
12.175
13.197
14.208
15.219
16.233
17.250
18.264
19.283
20.294
21.308
22.322
23.336
24.350
25.369
26.381
27.394

3.21678%
3.17746%
3.13297%
2.95202%
2.80784%
2.72690%
2.75639%
2.99677%
3.23989%
3.47620%
3.69555%
3.87547%
4.02555%
4.16811%
4.29046%
4.38534%
4.48338%
4.55190%
4.62239%
4.69552%
4.72470%
4.75572%
4.78839%
4.82288%
4.85880%
4.86563%
4.87355%
4.88249%
4.89240%
4.90328%
4.89913%
4.89560%

-0.006434
-0.002626
-0.006930
-0.005642
-0.003167
0.000289
0.002377
0.002405
0.002324
0.002163
0.001775
0.001472
0.001410
0.001207
0.000936
0.000967
0.000670
0.000697
0.000723
0.000288
0.000305
0.000322
0.000338
0.000355
0.000067
0.000078
0.000088
0.000098
0.000107
-0.000041
-0.000035
-0.000029

0.249095
0.237176
0.225776

-0.00003256
-0.00003106

28.408
29.425
30.444

4.89266%
4.89023%
4.88829%

-0.000024
-0.000019

Forward rates from the bootstrapped swap

ln(DF)

ln(DF)
gradient

[7]

[8]

0
-0.000447
-0.002383
-0.007658
-0.014924
-0.021371
-0.027723
-0.056123
-0.091318
-0.131486
-0.176417
-0.225018
-0.275266
-0.326964
-0.380687
-0.435362
-0.489453
-0.545852
-0.600725
-0.656765
-0.714632
-0.766976
-0.820362
-0.874546
-0.930012
-0.986066
-1.036784
-1.087885
-1.139384
-1.191301
-1.243934
-1.292418
-1.341123

-0.00008936
-0.00008801
-0.00008648
-0.00007729
-0.00007007
-0.00006905
-0.00007738
-0.00009669
-0.00011035
-0.00012276
-0.00013315
-0.00013767
-0.00014087
-0.00014759
-0.00014979
-0.00014819
-0.00015452
-0.00014911
-0.00015396
-0.00015898
-0.00014341
-0.00014586
-0.00014845
-0.00015113
-0.00015400
-0.00013895
-0.00014000
-0.00014109
-0.00014224
-0.00014342
-0.00013320
-0.00013344
-0.00013370

3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84
87
90
93
96

Forward
dates

days
Act/360

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

-1.389923
-1.438951
-1.488214

-0.00013396
-0.00013423

99
102
105
108
111
114
117
120
123
126
129
132
135
138
141
144
147
150
153
156
159
162
165
168
171
174
177
180
183
186
189
192
195
198
201
204
207
210
213
216
219
222
225
228

6-May-16
8-Aug-16
7-Nov-16
6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27

0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

231
234
237
240
243
246
249
252
255
258
261
264
267
270
273
276
279
282
285
288
291
294
297
300
303
306
309
312
315
318
321
324
327
330
333
336
339
342
345
348
351
354
357
360

6-May-27
6-Aug-27
8-Nov-27
7-Feb-28
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37
8-Feb-38

0.242
0.256
0.261
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261

rom the bootstrapped swap curve

linear interpolation
DF's

Forward
rates

[9]

[10]

1
0.992218
0.985187
0.978856
0.972657
0.966053
0.959226
0.952398
0.945423
0.937608
0.929344
0.920901
0.912727
0.904040
0.894760
0.885776
0.876792
0.867214
0.857635
0.847952
0.838268
0.828572
0.818548
0.808525
0.798502
0.788960
0.779097
0.769233
0.759370
0.750091
0.740500
0.730909
0.721110

3.13721%
2.79275%
2.53077%
2.49374%
2.76539%
2.78507%
2.80503%
2.82573%
3.44880%
3.47946%
3.51136%
3.54281%
3.93129%
3.97206%
4.01235%
4.05346%
4.36942%
4.41822%
4.46868%
4.52030%
4.73365%
4.79161%
4.85101%
4.91191%
4.89199%
4.95392%
5.01744%
5.08262%
5.00347%
5.06828%
5.13479%
5.20457%

days
Act/360

0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122

zero-coupon interpolation
interpolated
z-c rates
DF's
[11]

[12]

3.12912%
2.95202%
2.80784%
2.72690%
2.73405%
2.74144%
2.74883%
2.75639%
2.81384%
2.87460%
2.93667%
2.99677%
3.05554%
3.11833%
3.17911%
3.23989%
3.29864%
3.35740%
3.41680%
3.47620%
3.52969%
3.58497%
3.64026%
3.69555%
3.73942%
3.78477%
3.83012%
3.87547%
3.91187%
3.94949%
3.98711%
4.02555%

1
0.992208
0.985187
0.978856
0.972657
0.966035
0.959201
0.952379
0.945423
0.937918
0.929765
0.921213
0.912727
0.904314
0.895129
0.886049
0.876792
0.867441
0.857934
0.848173
0.838268
0.828733
0.818762
0.808683
0.798502
0.789043
0.779206
0.769313
0.759370
0.750120
0.740536
0.730935
0.721110

0.711991
0.702250
0.692821
0.683391
0.674326
0.665261
0.656195
0.647030
0.638630
0.630136
0.621549
0.612962
0.604765
0.596293
0.587820
0.579348
0.571783
0.564049
0.556316
0.548414
0.541271
0.533716
0.525998
0.518526
0.511478
0.503949
0.496661
0.489372
0.483150
0.476928
0.470706
0.464415
0.458478
0.452410
0.446341
0.440272
0.434610
0.428757
0.422904
0.417051
0.411594
0.405953
0.400313
0.394549

5.23933%
5.31200%
5.38430%
5.45860%
5.31834%
5.39081%
5.46529%
5.54270%
5.26158%
5.33250%
5.40618%
5.48191%
5.48201%
5.55990%
5.64004%
5.72252%
5.29247%
5.36503%
5.43962%
5.51799%
5.46109%
5.53839%
5.61965%
5.70063%
5.63734%
5.72156%
5.80553%
5.89199%
5.09468%
5.16115%
5.22937%
5.30020%
5.17960%
5.24908%
5.32045%
5.39379%
5.26974%
5.34168%
5.41561%
5.49161%
5.36282%
5.43734%
5.51396%
5.59450%

8.367
8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283

4.06002%
4.09683%
4.13247%
4.16811%
4.19861%
4.22912%
4.25962%
4.29046%
4.31385%
4.33751%
4.36143%
4.38534%
4.40925%
4.43396%
4.45867%
4.48338%
4.50014%
4.51727%
4.53440%
4.55190%
4.56875%
4.58657%
4.60477%
4.62239%
4.64007%
4.65895%
4.67724%
4.69552%
4.70279%
4.71007%
4.71734%
4.72470%
4.73233%
4.74013%
4.74792%
4.75572%
4.76369%
4.77192%
4.78016%
4.78839%
4.79675%
4.80540%
4.81405%
4.82288%

0.711992
0.702250
0.692819
0.683391
0.674296
0.665218
0.656162
0.647030
0.638572
0.630057
0.621489
0.612962
0.604701
0.596204
0.587753
0.579348
0.571699
0.563936
0.556229
0.548414
0.541188
0.533602
0.525912
0.518526
0.511392
0.503831
0.496572
0.489372
0.483054
0.476800
0.470609
0.464415
0.458385
0.452284
0.446247
0.440272
0.434520
0.428635
0.422813
0.417051
0.411506
0.405833
0.400221
0.394549

0.389408
0.383972
0.378418
0.373041
0.368442
0.363843
0.359243
0.354593
0.350238
0.345833
0.341381
0.336928
0.332805
0.328542
0.324279
0.320016
0.316068
0.311987
0.307907
0.303826
0.300006
0.296101
0.292111
0.288248
0.284950
0.281427
0.278016
0.274606
0.271351
0.268097
0.264842
0.261552
0.258480
0.255374
0.252234
0.249095
0.246164
0.243168
0.240172
0.237176
0.234412
0.231554
0.228696
0.225776

5.46248%
5.53982%
5.62113%
5.70215%
4.93846%
5.00089%
5.06492%
5.13134%
4.97454%
5.03789%
5.10360%
5.17104%
5.01218%
5.07722%
5.14396%
5.21248%
5.05220%
5.11828%
5.18612%
5.25577%
5.09349%
5.16066%
5.23115%
5.30125%
4.73492%
4.79420%
4.85301%
4.91328%
4.74490%
4.80250%
4.86152%
4.92268%
4.75336%
4.81117%
4.87106%
4.93246%
4.76220%
4.82088%
4.88101%
4.94266%
4.77084%
4.82972%
4.89008%
4.95332%

19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183
30.444

4.83146%
4.84054%
4.84982%
4.85880%
4.86050%
4.86220%
4.86391%
4.86563%
4.86758%
4.86956%
4.87155%
4.87355%
4.87573%
4.87798%
4.88024%
4.88249%
4.88491%
4.88741%
4.88991%
4.89240%
4.89507%
4.89780%
4.90058%
4.90328%
4.90227%
4.90120%
4.90017%
4.89913%
4.89825%
4.89737%
4.89649%
4.89560%
4.89488%
4.89414%
4.89340%
4.89266%
4.89206%
4.89145%
4.89084%
4.89023%
4.88976%
4.88928%
4.88879%
4.88829%

0.389324
0.383857
0.378331
0.373041
0.368359
0.363732
0.359160
0.354593
0.350159
0.345728
0.341301
0.336928
0.332730
0.328440
0.324203
0.320016
0.315996
0.311890
0.307834
0.303826
0.299936
0.296006
0.292041
0.288248
0.284887
0.281341
0.277952
0.274606
0.271290
0.268015
0.264781
0.261552
0.258422
0.255296
0.252176
0.249095
0.246108
0.243094
0.240116
0.237176
0.234359
0.231482
0.228642
0.225776

polation

log-linear interpolation
Forward
rates

ln(DF)

DF

Forward
rates

[13]

[14]

[15]

[16]

3.14139%
2.78865%
2.53077%
2.49374%
2.77292%
2.78789%
2.80278%
2.81805%
3.31108%
3.43107%
3.55535%
3.67811%
3.80584%
3.92984%
4.05401%
4.17683%
4.26478%
4.38357%
4.50333%
4.62352%
4.65422%
4.76520%
4.87714%
4.98911%
4.84877%
4.94008%
5.03194%
5.12382%
4.98801%
5.06401%
5.14024%
5.21806%

-0.0078129671
-0.0149240914
-0.0213707881
-0.0277234487
-0.0346105557
-0.0417298123
-0.048849069
-0.056123092
-0.0645350999
-0.0734305565
-0.0825193926
-0.0913181594
-0.1010289483
-0.1114018364
-0.1214436749
-0.1314855134
-0.1426570454
-0.1538285774
-0.1651228735
-0.1764171695
-0.1882677971
-0.200517884
-0.2127679709
-0.2250180578
-0.237270364
-0.2499356693
-0.2626009746
-0.2752662799
-0.2878033939
-0.3007631073
-0.3137228207
-0.326964267

1
0.992217
0.985187
0.978856
0.972657
0.965982
0.959129
0.952325
0.945423
0.937503
0.929201
0.920794
0.912727
0.903907
0.894579
0.885641
0.876792
0.867051
0.857419
0.847790
0.838268
0.828393
0.818307
0.808344
0.798502
0.788778
0.778851
0.769049
0.759370
0.749909
0.740253
0.730722
0.721110

3.13743%
2.79253%
2.53077%
2.49374%
2.79541%
2.79574%
2.79574%
2.79595%
3.49551%
3.49636%
3.49670%
3.49619%
3.99195%
3.99327%
3.99261%
3.99261%
4.44429%
4.44429%
4.44456%
4.44456%
4.82203%
4.82299%
4.82299%
4.82299%
4.98647%
4.98751%
4.98751%
4.98751%
5.10311%
5.10420%
5.10420%
5.10492%

7.00000%
6.50000%
6.00000%
5.50000%
5.00000%
4.50000%
4.00000%
3.50000%
3.00000%
2.50000%

2.00000%
0.00

5.23844%
5.31298%
5.38525%
5.45750%
5.33639%
5.39822%
5.46006%
5.52268%
5.29828%
5.34636%
5.39498%
5.44347%
5.52593%
5.57651%
5.62664%
5.67678%
5.35170%
5.38685%
5.42158%
5.45752%
5.52532%
5.56258%
5.59998%
5.63501%
5.70715%
5.74697%
5.78331%
5.82041%
5.17434%
5.18908%
5.20382%
5.21902%
5.26201%
5.27841%
5.29422%
5.31003%
5.35461%
5.37222%
5.38891%
5.40561%
5.45106%
5.46954%
5.48708%
5.50564%

-0.3399522883
-0.3538258566
-0.3672566513
-0.3806874461
-0.3943186378
-0.4079498294
-0.421581021
-0.435362006
-0.448699481
-0.4621851501
-0.4758190134
-0.4894528768
-0.5032050172
-0.5174207129
-0.5316364086
-0.5458521043
-0.5592720564
-0.5729902296
-0.5867084029
-0.6007247973
-0.6141189133
-0.6282828061
-0.6427546096
-0.6567645471
-0.6707544929
-0.6856982987
-0.7001651745
-0.7146320503
-0.7276821934
-0.7407323365
-0.7537824796
-0.7669760308
-0.780103767
-0.7935232306
-0.8069426942
-0.8203621578
-0.8335741465
-0.8472314831
-0.8608888197
-0.8745461563
-0.8879969875
-0.9019012176
-0.9158054476
-0.9300119435

0.711804
0.701997
0.692632
0.683391
0.674139
0.665012
0.656009
0.647030
0.638458
0.629906
0.621376
0.612962
0.604590
0.596056
0.587643
0.579348
0.571625
0.563837
0.556155
0.548414
0.541117
0.533507
0.525842
0.518526
0.511323
0.503738
0.496503
0.489372
0.483027
0.476765
0.470583
0.464415
0.458358
0.452249
0.446220
0.440272
0.434494
0.428600
0.422786
0.417051
0.411479
0.405797
0.400194
0.394549

5.34794%
5.35031%
5.34912%
5.34912%
5.42948%
5.42948%
5.42948%
5.42989%
5.37073%
5.37113%
5.37152%
5.37152%
5.60109%
5.60239%
5.60239%
5.60239%
5.40416%
5.40497%
5.40497%
5.40578%
5.57968%
5.58183%
5.58269%
5.58140%
5.76338%
5.76614%
5.76476%
5.76476%
5.19653%
5.19653%
5.19653%
5.19690%
5.28571%
5.28649%
5.28649%
5.28649%
5.37963%
5.38084%
5.38084%
5.38084%
5.47754%
5.47879%
5.47879%
5.47962%

5.55343%
5.57348%
5.59296%
5.61017%
5.02888%
5.03233%
5.03578%
5.03959%
5.06589%
5.07022%
5.07460%
5.07865%
5.10459%
5.11017%
5.11473%
5.11930%
5.14548%
5.15156%
5.15662%
5.16168%
5.18811%
5.19432%
5.20065%
5.20508%
4.82653%
4.82636%
4.82327%
4.82117%
4.83574%
4.83395%
4.83217%
4.83070%
4.84440%
4.84325%
4.84208%
4.84058%
4.85352%
4.85296%
4.85172%
4.85049%
4.86278%
4.86280%
4.86181%
4.86147%

-0.9434095274
-0.9575770874
-0.9720526378
-0.9860662025
-0.9987109311
-1.0113556597
-1.0240003883
-1.0367840699
-1.0493841902
-1.0621243118
-1.0750044348
-1.0878845578
-1.1004419969
-1.1134227206
-1.1264034443
-1.1393841679
-1.1520432403
-1.1651290229
-1.1782148056
-1.1913005883
-1.2042079944
-1.2174022319
-1.2308833005
-1.2439341223
-1.2556555656
-1.2681761982
-1.2802972362
-1.2924182741
-1.3045611372
-1.3167040003
-1.3288468634
-1.3411231645
-1.3531558783
-1.365322289
-1.3776223965
-1.3899225039
-1.4019787203
-1.4143028525
-1.4266269848
-1.438951117
-1.4508976808
-1.4632469378
-1.4755961948
-1.4882139139

0.389298
0.383822
0.378306
0.373041
0.368354
0.363726
0.359155
0.354593
0.350153
0.345721
0.341296
0.336928
0.332724
0.328433
0.324197
0.320016
0.315990
0.311882
0.307828
0.303826
0.299929
0.295998
0.292035
0.288248
0.284889
0.281344
0.277955
0.274606
0.271292
0.268017
0.264782
0.261552
0.258423
0.255298
0.252177
0.249095
0.246109
0.243095
0.240117
0.237176
0.234360
0.231483
0.228642
0.225776

5.58113%
5.58329%
5.58415%
5.58285%
5.03407%
5.03407%
5.03407%
5.03442%
5.07193%
5.07229%
5.07265%
5.07265%
5.11144%
5.11252%
5.11252%
5.11252%
5.15307%
5.15417%
5.15417%
5.15417%
5.19643%
5.19717%
5.19792%
5.19680%
4.82335%
4.82528%
4.82431%
4.82431%
4.83305%
4.83305%
4.83305%
4.83338%
4.84216%
4.84248%
4.84281%
4.84281%
4.85167%
4.85233%
4.85233%
4.85233%
4.86130%
4.86228%
4.86228%
4.86293%

Bootstrapping a swap curve

with linear interpolation
7.00000%
6.50000%
6.00000%
5.50000%
5.00000%
4.50000%

Z-C interp

4.00000%

Linear int

Log-linea

3.50000%
3.00000%
2.50000%
2.00000%
0.000

5.000

10.000

15.000

20

swap curve
erpolation

.000

Z-C interpolation of DF curve

Linear interpolation
Log-linear interpolation

20.000

25.000

30.000

3.6: Details of Hermitian Interpolation

t(i)
2.01
3.01
4.00
5.01
6.01
7.01
8.01
9.01
10.01
12.01
15.01
20.02
25.02
30.03

r(i)
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.4350%
4.6150%
4.7550%
4.8050%
4.8150%

r'(i)
0.2407%
0.2463%
0.2350%
0.2197%
0.1900%
0.1547%
0.1348%
0.1202%
0.1017%
0.0750%
0.0480%
0.0190%
0.0060%

g(i)
0.0000%
0.0056%
0.0057%
0.0097%
0.0200%
0.0155%
0.0044%
0.0102%
0.0333%
0.0452%
0.1000%
0.0450%
0.0200%

c(i)
###
0.0000%
0.0041%
0.0103%
###
###
0.0057%
###
###
###
###
###
###

t(i+1)
3.005
4.003
5.005
6.005
7.005
8.011
9.008
10.008
12.008
15.011
20.016
25.022
30.027

r(i+1)
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.4350%
4.6150%
4.7550%
4.8050%
4.8150%

m(i,t)

2.008
3.005
4.003
5.005
6.005
7.005
8.011
9.008
###
11.008
###
###
###
15.011
16.011
###
###
###
###
###
###
###
###
###
###
###
###
###
###

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.500
0.000
0.336
0.668
0.000
0.200
0.400
0.600
0.801
0.000
0.200
0.400
0.599
0.799
0.000
0.199
0.399
0.599
0.799
0.000

r(i)

r(i+1)

g(i)

c(i)

r(t)

2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.2650%
4.4350%
4.4350%
4.4350%
4.6150%
4.6150%
4.6150%
4.6150%
4.6150%
4.7550%
4.7550%
4.7550%
4.7550%
4.7550%
4.8050%
4.8050%
4.8050%
4.8050%
4.8050%
4.8150%

3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.4350%
4.4350%
4.6150%
4.6150%
4.6150%
4.7550%
4.7550%
4.7550%
4.7550%
4.7550%
4.8050%
4.8050%
4.8050%
4.8050%
4.8050%
4.8150%
4.8150%
4.8150%
4.8150%
4.8150%

0.0000%
0.0056%
0.0057%
0.0097%
0.0200%
0.0155%
0.0044%
0.0102%
0.0333%
0.0333%
0.0452%
0.0452%
0.0452%
0.1000%
0.1000%
0.1000%
0.1000%
0.1000%
0.0450%
0.0450%
0.0450%
0.0450%
0.0450%
0.0200%
0.0200%
0.0200%
0.0200%
0.0200%

-0.0056%
0.0000%
0.0041%
0.0103%
-0.0047%
-0.0110%
0.0057%
-0.0019%
-0.0133%
-0.0133%
-0.0092%
-0.0092%
-0.0092%
-0.0550%
-0.0550%
-0.0550%
-0.0550%
-0.0550%
-0.0250%
-0.0250%
-0.0250%
-0.0250%
-0.0250%
-0.0100%
-0.0100%
-0.0100%
-0.0100%
-0.0100%

2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.3567%
4.4350%
4.5048%
4.5639%
4.6150%
4.6572%
4.6897%
4.7151%
4.7360%
4.7550%
4.7714%
4.7834%
4.7922%
4.7990%
4.8050%
4.8099%
4.8128%
4.8144%
4.8149%
4.8150%

6.0000%

5.0000%

4.0000%

3.0000%

2.0000%

1.0000%

0.0000%
0.000

5.000

10.000

5.000

10.000

15.000

20.000

25.000

30.000

3.7: Worksheet to calculate a discount curve using Hermite interpolation on the swap curve and

Today's date:

4-Feb-08

Current USD market data

Libor cash
Act/360
7 day
1 mo
3 mo

Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09

2
3
4
5
6
7
8
9
10
12
15
20
25
30

2 yr
3 yr
4 yr
5 yr
6 yr
7 yr
8 yr
9 yr
10 yr
12 yr
15 yr
20 yr
25 yr
30 yr

6-Feb-08
11-Feb-08
4-Mar-08
4-May-08

3.21750%
3.18125%
3.14500%

19-Mar-08
18-Jun-08
17-Sep-08
17-Dec-08
18-Mar-09
17-Jun-09

Futures
3.000%
2.590%
2.480%
2.505%
2.605%
2.780%

8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-20
6-Feb-23
7-Feb-28
7-Feb-33
8-Feb-38

mid swap
ANN Act/360
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.4350%
4.6150%
4.7550%
4.8050%
4.8150%

gradient
-0.0045%
-0.0012%
0.0003%
0.0011%
0.0019%

tion on the swap curve and different methods on the discount curve
Hermite interpolated market data

Cash
rates

Interpolated
Futures
rates

swap
rates

days

[1]

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

6-Feb-08
11-Feb-08
4-Mar-08
4-May-08
6-Aug-08
6-Nov-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-19
6-Feb-20
8-Feb-21
7-Feb-22
6-Feb-23
6-Feb-24
6-Feb-25
6-Feb-26
8-Feb-27
7-Feb-28
6-Feb-29
6-Feb-30
6-Feb-31
6-Feb-32
7-Feb-33
6-Feb-34
6-Feb-35

3.21750%
3.18125%
3.14500%
2.79275%
2.53077%
2.49374%
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.3567%
4.4350%
4.5048%
4.5639%
4.6150%
4.6572%
4.6897%
4.7151%
4.7360%
4.7550%
4.7714%
4.7834%
4.7922%
4.7990%
4.8050%
4.8099%
4.8128%

0.014
0.075
0.244
0.506
0.761
1.017
1.019
1.011
1.011
1.017
1.014
1.014
1.019
1.011
1.014
1.014
1.014
1.022
1.011
1.011
1.014
1.017
1.014
1.019
1.011
1.014
1.014
1.014
1.014
1.019
1.011
1.014

28
29
30

6-Feb-36
6-Feb-37
8-Feb-38

4.8144%
4.8149%
4.8150%

1.014
1.017
1.019

Bootstrapping a swap curve

DF's

DF
gradient

z-c
days

z-c
rates

z-c
gradient

[2]

[3]

[4]

[5]

[6]

1
0.999553
0.997620
0.992371
0.985187
0.978856
0.972657
0.945423
0.912727
0.876792
0.838268
0.798502
0.759370
0.721110
0.683391
0.647030
0.612393
0.579372
0.547536
0.517715
0.489472
0.462944
0.438294
0.415402
0.393790
0.373410
0.354119
0.336191
0.319449
0.303707
0.288691
0.274615
0.261412

-0.00008934
-0.00008789
-0.00008605
-0.00007643
-0.00006881
-0.00006738
-0.00007421
-0.00008982
-0.00009872
-0.00010526
-0.00010895
-0.00010721
-0.00010425
-0.00010362
-0.00009962
-0.00009490
-0.00009047
-0.00008651
-0.00008193
-0.00007759
-0.00007268
-0.00006735
-0.00006272
-0.00005889
-0.00005599
-0.00005285
-0.00004912
-0.00004587
-0.00004313
-0.00004092
-0.00003867
-0.00003617
-0.00003394

0.014
0.075
0.244
0.506
0.761
1.017
2.036
3.047
4.058
5.075
6.089
7.103
8.122
9.133
10.147
11.161
12.175
13.197
14.208
15.219
16.233
17.250
18.264
19.283
20.294
21.308
22.322
23.336
24.350
25.369
26.381
27.394

3.21678%
3.17746%
3.13297%
2.95202%
2.80784%
2.72690%
2.75639%
2.99677%
3.23989%
3.47620%
3.69555%
3.87547%
4.02555%
4.16811%
4.29046%
4.39365%
4.48304%
4.56404%
4.63342%
4.69418%
4.74425%
4.78183%
4.81009%
4.83287%
4.85394%
4.87190%
4.88336%
4.89009%
4.89402%
4.89723%
4.89900%
4.89755%

-0.006434
-0.002626
-0.006930
-0.005642
-0.003167
0.000289
0.002377
0.002405
0.002324
0.002163
0.001775
0.001472
0.001410
0.001207
0.001018
0.000882
0.000792
0.000686
0.000601
0.000494
0.000370
0.000279
0.000223
0.000208
0.000177
0.000113
0.000066
0.000039
0.000031
0.000018
-0.000014
-0.000038

0.249023
0.237318
0.226201

-0.00003198
-0.00003029

28.408
29.425
30.444

4.89367%
4.88821%
4.88210%

-0.000054
-0.000060

Forward rates from the bootstrapped swap

ln(DF)

ln(DF)
gradient

[7]

[8]

0
-0.000447
-0.002383
-0.007658
-0.014924
-0.021371
-0.027723
-0.056123
-0.091318
-0.131486
-0.176417
-0.225018
-0.275266
-0.326964
-0.380687
-0.435362
-0.490381
-0.545810
-0.602326
-0.658331
-0.714428
-0.770150
-0.824865
-0.878509
-0.931938
-0.985079
-1.038121
-1.090075
-1.141157
-1.191693
-1.242399
-1.292384
-1.341657

-0.00008936
-0.00008801
-0.00008648
-0.00007729
-0.00007007
-0.00006905
-0.00007738
-0.00009669
-0.00011035
-0.00012276
-0.00013315
-0.00013767
-0.00014087
-0.00014759
-0.00014979
-0.00015074
-0.00015186
-0.00015358
-0.00015386
-0.00015411
-0.00015266
-0.00014949
-0.00014697
-0.00014558
-0.00014599
-0.00014532
-0.00014234
-0.00013995
-0.00013846
-0.00013816
-0.00013732
-0.00013499
-0.00013302

3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84
87
90
93
96

Forward
dates

days
Act/360

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

-1.390211
-1.438356
-1.486330

-0.00013154
-0.00013072

99
102
105
108
111
114
117
120
123
126
129
132
135
138
141
144
147
150
153
156
159
162
165
168
171
174
177
180
183
186
189
192
195
198
201
204
207
210
213
216
219
222
225
228

6-May-16
8-Aug-16
7-Nov-16
6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27

0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

231
234
237
240
243
246
249
252
255
258
261
264
267
270
273
276
279
282
285
288
291
294
297
300
303
306
309
312
315
318
321
324
327
330
333
336
339
342
345
348
351
354
357
360

6-May-27
6-Aug-27
8-Nov-27
7-Feb-28
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37
8-Feb-38

0.242
0.256
0.261
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261

rom the bootstrapped swap curve

linear interpolation
DF's

Forward
rates

[9]

[10]

1
0.992218
0.985187
0.978856
0.972657
0.966053
0.959226
0.952398
0.945423
0.937608
0.929344
0.920901
0.912727
0.904040
0.894760
0.885776
0.876792
0.867214
0.857635
0.847952
0.838268
0.828572
0.818548
0.808525
0.798502
0.788960
0.779097
0.769233
0.759370
0.750091
0.740500
0.730909
0.721110

3.13721%
2.79275%
2.53077%
2.49374%
2.76539%
2.78507%
2.80503%
2.82573%
3.44880%
3.47946%
3.51136%
3.54281%
3.93129%
3.97206%
4.01235%
4.05346%
4.36942%
4.41822%
4.46868%
4.52030%
4.73365%
4.79161%
4.85101%
4.91191%
4.89199%
4.95392%
5.01744%
5.08262%
5.00347%
5.06828%
5.13479%
5.20457%

days
Act/360

0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122

zero-coupon interpolation
interpolated
z-c rates
DF's
[11]

[12]

3.12912%
2.95202%
2.80784%
2.72690%
2.73405%
2.74144%
2.74883%
2.75639%
2.81384%
2.87460%
2.93667%
2.99677%
3.05554%
3.11833%
3.17911%
3.23989%
3.29864%
3.35740%
3.41680%
3.47620%
3.52969%
3.58497%
3.64026%
3.69555%
3.73942%
3.78477%
3.83012%
3.87547%
3.91187%
3.94949%
3.98711%
4.02555%

1
0.992208
0.985187
0.978856
0.972657
0.966035
0.959201
0.952379
0.945423
0.937918
0.929765
0.921213
0.912727
0.904314
0.895129
0.886049
0.876792
0.867441
0.857934
0.848173
0.838268
0.828733
0.818762
0.808683
0.798502
0.789043
0.779206
0.769313
0.759370
0.750120
0.740536
0.730935
0.721110

0.711991
0.702250
0.692821
0.683391
0.674326
0.665261
0.656195
0.647030
0.638490
0.629854
0.621124
0.612393
0.604342
0.596019
0.587695
0.579372
0.571586
0.563627
0.555668
0.547536
0.540409
0.532871
0.525170
0.517715
0.510887
0.503593
0.496533
0.489472
0.482858
0.476244
0.469630
0.462944
0.456882
0.450686
0.444490
0.438294
0.432712
0.426942
0.421172
0.415402
0.410161
0.404743
0.399325
0.393790

5.23933%
5.31200%
5.38430%
5.45860%
5.31834%
5.39081%
5.46529%
5.54270%
5.35054%
5.42390%
5.50014%
5.57855%
5.38909%
5.46435%
5.54174%
5.62135%
5.44867%
5.52561%
5.60475%
5.68799%
5.45776%
5.53496%
5.61613%
5.69700%
5.46735%
5.54653%
5.62540%
5.70655%
5.41880%
5.49406%
5.57143%
5.65190%
5.30670%
5.37966%
5.45465%
5.53176%
5.21797%
5.28849%
5.36094%
5.43541%
5.16864%
5.23783%
5.30889%
5.38352%

8.367
8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283

4.06002%
4.09683%
4.13247%
4.16811%
4.19861%
4.22912%
4.25962%
4.29046%
4.31590%
4.34163%
4.36764%
4.39365%
4.41545%
4.43798%
4.46051%
4.48304%
4.50285%
4.52310%
4.54335%
4.56404%
4.58062%
4.59816%
4.61607%
4.63342%
4.64811%
4.66380%
4.67899%
4.69418%
4.70666%
4.71914%
4.73163%
4.74425%
4.75349%
4.76294%
4.77238%
4.78183%
4.78872%
4.79584%
4.80296%
4.81009%
4.81561%
4.82132%
4.82703%
4.83287%

0.711992
0.702250
0.692819
0.683391
0.674296
0.665218
0.656162
0.647030
0.638436
0.629781
0.621067
0.612393
0.604273
0.595925
0.587624
0.579372
0.571507
0.563519
0.555586
0.547536
0.540325
0.532756
0.525083
0.517715
0.510798
0.503473
0.496442
0.489472
0.482765
0.476120
0.469537
0.462944
0.456789
0.450561
0.444396
0.438294
0.432621
0.426819
0.421079
0.415402
0.410072
0.404622
0.399233
0.393790

0.388919
0.383768
0.378505
0.373410
0.368600
0.363791
0.358982
0.354119
0.349699
0.345229
0.340710
0.336191
0.332109
0.327889
0.323669
0.319449
0.315611
0.311643
0.307675
0.303707
0.300024
0.296260
0.292414
0.288691
0.285288
0.281653
0.278134
0.274615
0.271324
0.268032
0.264740
0.261412
0.258357
0.255268
0.252146
0.249023
0.246144
0.243202
0.240260
0.237318
0.234622
0.231835
0.229049
0.226201

5.18266%
5.25222%
5.32525%
5.39791%
5.16167%
5.22990%
5.29997%
5.37274%
5.05649%
5.12196%
5.18989%
5.25965%
4.97207%
5.03606%
5.10172%
5.16911%
4.91965%
4.98229%
5.04655%
5.11248%
4.90941%
4.97178%
5.03717%
5.10214%
4.87961%
4.94258%
5.00512%
5.06925%
4.79952%
4.85846%
4.91887%
4.98149%
4.72975%
4.78698%
4.84626%
4.90704%
4.67746%
4.73404%
4.79202%
4.85143%
4.64756%
4.70342%
4.76065%
4.82057%

19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183
30.444

4.83790%
4.84323%
4.84867%
4.85394%
4.85842%
4.86289%
4.86737%
4.87190%
4.87473%
4.87758%
4.88047%
4.88336%
4.88500%
4.88670%
4.88839%
4.89009%
4.89105%
4.89204%
4.89303%
4.89402%
4.89480%
4.89561%
4.89643%
4.89723%
4.89766%
4.89811%
4.89856%
4.89900%
4.89864%
4.89828%
4.89792%
4.89755%
4.89659%
4.89563%
4.89465%
4.89367%
4.89233%
4.89096%
4.88958%
4.88821%
4.88673%
4.88520%
4.88367%
4.88210%

0.388835
0.383653
0.378419
0.373410
0.368517
0.363680
0.358898
0.354119
0.349619
0.345123
0.340630
0.336191
0.332034
0.327788
0.323593
0.319449
0.315539
0.311546
0.307602
0.303707
0.299955
0.296167
0.292345
0.288691
0.285224
0.281566
0.278069
0.274615
0.271262
0.267949
0.264678
0.261412
0.258299
0.255191
0.252087
0.249023
0.246089
0.243128
0.240205
0.237318
0.234570
0.231765
0.228995
0.226201

polation

log-linear interpolation
Forward
DF
rates

Forward
rates

ln(DF)

[13]

[14]

[15]

[16]

3.14139%
2.78865%
2.53077%
2.49374%
2.77292%
2.78789%
2.80278%
2.81805%
3.31108%
3.43107%
3.55535%
3.67811%
3.80584%
3.92984%
4.05401%
4.17683%
4.26478%
4.38357%
4.50333%
4.62352%
4.65422%
4.76520%
4.87714%
4.98911%
4.84877%
4.94008%
5.03194%
5.12382%
4.98801%
5.06401%
5.14024%
5.21806%

-0.0078129671
-0.0149240914
-0.0213707881
-0.0277234487
-0.0346105557
-0.0417298123
-0.048849069
-0.056123092
-0.0645350999
-0.0734305565
-0.0825193926
-0.0913181594
-0.1010289483
-0.1114018364
-0.1214436749
-0.1314855134
-0.1426570454
-0.1538285774
-0.1651228735
-0.1764171695
-0.1882677971
-0.200517884
-0.2127679709
-0.2250180578
-0.237270364
-0.2499356693
-0.2626009746
-0.2752662799
-0.2878033939
-0.3007631073
-0.3137228207
-0.326964267

1
0.992217
0.985187
0.978856
0.972657
0.965982
0.959129
0.952325
0.945423
0.937503
0.929201
0.920794
0.912727
0.903907
0.894579
0.885641
0.876792
0.867051
0.857419
0.847790
0.838268
0.828393
0.818307
0.808344
0.798502
0.788778
0.778851
0.769049
0.759370
0.749909
0.740253
0.730722
0.721110

3.13743%
2.79253%
2.53077%
2.49374%
2.79541%
2.79574%
2.79574%
2.79595%
3.49551%
3.49636%
3.49670%
3.49619%
3.99195%
3.99327%
3.99261%
3.99261%
4.44429%
4.44429%
4.44456%
4.44456%
4.82203%
4.82299%
4.82299%
4.82299%
4.98647%
4.98751%
4.98751%
4.98751%
5.10311%
5.10420%
5.10420%
5.10492%

5.23844%
5.31298%
5.38525%
5.45750%
5.33639%
5.39822%
5.46006%
5.52268%
5.38466%
5.43694%
5.48981%
5.54257%
5.43560%
5.48177%
5.52747%
5.57316%
5.50512%
5.54659%
5.58766%
5.63007%
5.52270%
5.55941%
5.59623%
5.63069%
5.53908%
5.57244%
5.60247%
5.63328%
5.49614%
5.52145%
5.54677%
5.57266%
5.38946%
5.40920%
5.42836%
5.44751%
5.30403%
5.31940%
5.33384%
5.34828%
5.25760%
5.27013%
5.28171%
5.29418%

-0.3399522883
-0.3538258566
-0.3672566513
-0.3806874461
-0.3943186378
-0.4079498294
-0.421581021
-0.435362006
-0.4489282443
-0.4626452186
-0.4765129289
-0.4903806392
-0.5038962638
-0.5178674711
-0.5318386785
-0.5458098859
-0.5596318247
-0.5737609178
-0.5878900108
-0.6023262581
-0.6157120839
-0.6298672101
-0.6443300564
-0.6583313225
-0.67189306
-0.6863794613
-0.7004035307
-0.7144276001
-0.7283200062
-0.7422124122
-0.7561048183
-0.7701498881
-0.7836044077
-0.7973579166
-0.8111114256
-0.8248649345
-0.8379452772
-0.8514665303
-0.8649877834
-0.8785090365
-0.8914659027
-0.9048595172
-0.9182531317
-0.9319379118

0.711804
0.701997
0.692632
0.683391
0.674139
0.665012
0.656009
0.647030
0.638312
0.629616
0.620945
0.612393
0.604172
0.595790
0.587524
0.579372
0.571419
0.563403
0.555498
0.547536
0.540256
0.532663
0.525014
0.517715
0.510741
0.503395
0.496385
0.489472
0.482719
0.476060
0.469492
0.462944
0.456757
0.450518
0.444364
0.438294
0.432598
0.426789
0.421057
0.415402
0.410054
0.404599
0.399216
0.393790

5.34794%
5.35031%
5.34912%
5.34912%
5.42948%
5.42948%
5.42948%
5.42989%
5.46347%
5.46388%
5.46430%
5.46430%
5.50411%
5.50536%
5.50536%
5.50536%
5.56716%
5.56802%
5.56802%
5.56888%
5.57620%
5.57835%
5.57921%
5.57792%
5.58577%
5.58836%
5.58707%
5.58707%
5.53425%
5.53425%
5.53425%
5.53467%
5.41818%
5.41899%
5.41899%
5.41899%
5.32568%
5.32686%
5.32686%
5.32686%
5.27508%
5.27623%
5.27623%
5.27700%

5.27304%
5.28546%
5.29715%
5.30684%
5.25259%
5.26167%
5.27074%
5.28026%
5.14842%
5.15455%
5.16074%
5.16659%
5.06457%
5.06901%
5.07245%
5.07588%
5.01222%
5.01523%
5.01724%
5.01924%
5.00248%
5.00478%
5.00712%
5.00772%
4.97224%
4.97519%
4.97508%
4.97598%
4.89085%
4.89011%
4.88938%
4.88897%
4.82061%
4.81899%
4.81734%
4.81536%
4.76789%
4.76577%
4.76299%
4.76021%
4.73802%
4.73591%
4.73281%
4.73029%

-0.9446393227
-0.9580706998
-0.9717940633
-0.9850794472
-0.9983035409
-1.0115276347
-1.0247517285
-1.038121142
-1.0509316594
-1.0638845158
-1.0769797114
-1.0900749069
-1.1025304868
-1.1154059176
-1.1282813485
-1.1411567794
-1.1534792964
-1.1662171792
-1.178955062
-1.1916929448
-1.2041276395
-1.2168386608
-1.2298260086
-1.2423988666
-1.2544832555
-1.26739158
-1.2798879367
-1.2923842934
-1.3046687115
-1.3169531297
-1.3292375479
-1.3416569596
-1.3536291443
-1.3657343532
-1.3779725864
-1.3902108195
-1.4020497728
-1.414151814
-1.4262538551
-1.4383558962
-1.4499898331
-1.4620159252
-1.4740420173
-1.4863295462

0.388820
0.383632
0.378404
0.373410
0.368504
0.363663
0.358886
0.354119
0.349612
0.345113
0.340623
0.336191
0.332030
0.327782
0.323589
0.319449
0.315537
0.311543
0.307600
0.303707
0.299954
0.296165
0.292343
0.288691
0.285223
0.281565
0.278068
0.274615
0.271262
0.267950
0.264679
0.261412
0.258301
0.255193
0.252089
0.249023
0.246092
0.243132
0.240207
0.237318
0.234573
0.231769
0.228998
0.226201

5.28928%
5.29121%
5.29199%
5.29082%
5.26625%
5.26625%
5.26625%
5.26664%
5.15717%
5.15754%
5.15791%
5.15791%
5.06972%
5.07079%
5.07079%
5.07079%
5.01523%
5.01627%
5.01627%
5.01627%
5.00493%
5.00562%
5.00632%
5.00528%
4.97360%
4.97566%
4.97463%
4.97463%
4.88974%
4.88974%
4.88974%
4.89007%
4.81766%
4.81798%
4.81830%
4.81830%
4.76372%
4.76435%
4.76435%
4.76435%
4.73334%
4.73427%
4.73427%
4.73489%

Difference between
Linear and Hermite
interpolated forward
curves
Average
Minimum
Maximum

-0.63
-30.33
35.36

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

7.00000%
6.50000%
6.00000%
5.50000%
5.00000%
4.50000%
4.00000%
3.50000%
3.00000%
2.50000%
2.00000%
0.000

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
8.64
9.06
9.48
9.91
-9.03
-9.47
-9.92
-10.36
15.34
15.97
16.61
17.26
-0.26
-0.32
-0.38
-0.43
-16.81
-17.45
-18.08
-18.71
32.18
33.24
34.30
35.36
12.74
13.08
13.41
13.75
-5.06
-5.28
-5.51
-5.73
-19.35
-19.94
-20.54
-21.15

-28.04
-28.80
-29.58
-30.33
22.37
22.93
23.50
24.07
8.25
8.43
8.61
8.79
-4.00
-4.12
-4.23
-4.34
-13.33
-13.63
-13.94
-14.24
-18.56
-18.95
-19.35
-19.74
14.57
14.88
15.18
15.48
5.51
5.62
5.72
5.83
-2.38
-2.43
-2.47
-2.52
-8.56
-8.72
-8.87
-9.03
-12.48
-12.69
-12.90
-13.12

Bootstrapping a swap curve

with Z-C interpolation of the DF cu
7.00000%
6.50000%
6.00000%
5.50000%
5.00000%
4.50000%
4.00000%

Cubic Hermite interpolation o

3.50000%

Linear interpolation of swap

3.00000%
2.50000%
2.00000%
0.000

5.000

10.000

15.000

20.0

g a swap curve
ion of the DF curve

Hermite interpolation of swap curve

r interpolation of swap curve

15.000

20.000

25.000

30.000

3.8: Worksheet to calculate a discount curve using an optimisation approach

Today's date:

4-Feb-08

Current USD market data

Libor cash
Act/360
7 day
1 mo
3 mo

Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09

2
3
4
5
6
7
8
9
10
12
15
20
25
30

2 yr
3 yr
4 yr
5 yr
6 yr
7 yr
8 yr
9 yr
10 yr
12 yr
15 yr
20 yr
25 yr
30 yr

6-Feb-08
11-Feb-08
4-Mar-08
4-May-08

3.21750%
3.18125%
3.14500%

19-Mar-08
18-Jun-08
17-Sep-08
17-Dec-08
18-Mar-09
17-Jun-09

Futures
3.000%
2.590%
2.480%
2.505%
2.605%
2.780%

8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-20
6-Feb-23
7-Feb-28
7-Feb-33
8-Feb-38

mid swap
ANN Act/360
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%
4.4350%
4.6150%
4.7550%
4.8050%
4.8150%

-0.0045%
-0.0012%
0.0003%
0.0011%
0.0019%

Value
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

Cash
rates

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

6-Feb-08
11-Feb-08
4-Mar-08
4-May-08
6-Aug-08
6-Nov-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18
6-Feb-19
6-Feb-20
8-Feb-21
7-Feb-22
6-Feb-23
6-Feb-24
6-Feb-25
6-Feb-26
8-Feb-27
7-Feb-28
6-Feb-29
6-Feb-30
6-Feb-31
6-Feb-32
7-Feb-33
6-Feb-34
6-Feb-35

Interpolated
Futures
rates

3.21750%
3.18125%
3.14500%
2.79275%
2.53077%
2.49374%

3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84
87
90
93
96

28
29
30

6-Feb-36
6-Feb-37
8-Feb-38

99
102
105
108
111
114
117
120
123
126
129
132
135
138
141
144
147
150
153
156
159
162
165
168
171
174
177
180
183
186
189
192
195
198
201
204
207
210
213
216
219
222
225
228

231
234
237
240
243
246
249
252
255
258
261
264
267
270
273
276
279
282
285
288
291
294
297
300
303
306
309
312
315
318
321
324
327
330
333
336
339
342
345
348
351
354
357
360

Forward rates from the bootstrapped swap curve

Forward
dates

days
Act/360

Forward
rates

[1]
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

3.14500%
2.79275%
2.53077%
2.49374%
2.5826%
2.7010%
2.8500%
3.0296%
3.2404%
3.4264%
3.5860%
3.7188%
3.8254%
3.9346%
4.0464%
4.1605%
4.2772%
4.3905%
4.5005%
4.6072%
4.7105%
4.7966%
4.8649%
4.9154%
4.9481%
4.9768%
5.0013%
5.0216%
5.0376%
5.0700%
5.1193%
5.1857%

Smoothing

36.152098107
[2]

0.00008%
0.00014%
0.00022%
0.00032%
0.00044%
0.00035%
0.00025%
0.00018%
0.00011%
0.00012%
0.00012%
0.00013%
0.00014%
0.00013%
0.00012%
0.00011%
0.00011%
0.00007%
0.00005%
0.00003%
0.00001%
0.00001%
0.00001%
0.00000%
0.00000%
0.00001%
0.00002%
0.00004%
0.00007%

DF's

days
Act/360

[3]
1
0.992199
0.985168
0.978837
0.972639
0.966468
0.959843
0.952902
0.945423
0.938077
0.929934
0.921308
0.912728
0.904272
0.895076
0.886014
0.876793
0.867414
0.857893
0.848139
0.838269
0.828619
0.818585
0.808533
0.798502
0.788853
0.778946
0.769115
0.759370
0.750030
0.740436
0.730874
0.721110

1.017

1.019

1.011

1.011

1.017

1.014

1.014

1.019

6-May-16
8-Aug-16
7-Nov-16
6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27

0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

5.2693%
5.3349%
5.3813%
5.4089%
5.4179%
5.4262%
5.4337%
5.4404%
5.4465%
5.4541%
5.4634%
5.4742%
5.4868%
5.5008%
5.5165%
5.5337%
5.5524%
5.5679%
5.5800%
5.5888%
5.5941%
5.5963%
5.5954%
5.5912%
5.5838%
5.5735%
5.5600%
5.5435%
5.5240%
5.5050%
5.4864%
5.4684%
5.4509%
5.4338%
5.4172%
5.4010%
5.3853%
5.3701%
5.3552%
5.3408%
5.3268%
5.3133%
5.3002%
5.2874%

0.00004%
0.00002%
0.00001%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%

0.711940
0.702159
0.692736
0.683392
0.674159
0.665038
0.656027
0.647031
0.638339
0.629658
0.620988
0.612421
0.604224
0.595848
0.587565
0.579372
0.571440
0.563423
0.555501
0.547511
0.540208
0.532591
0.524922
0.517607
0.510637
0.503312
0.496336
0.489478
0.482737
0.476112
0.469599
0.463127
0.456901
0.450643
0.444489
0.438438
0.432677
0.426820
0.421057
0.415388
0.409989
0.404496
0.399091
0.393656

1.011

1.014

1.014

1.014

1.022

1.011

1.011

1.014

1.017

1.014

1.019

6-May-27
6-Aug-27
8-Nov-27
7-Feb-28
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37
8-Feb-38

0.242
0.256
0.261
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261

5.2752%
5.2633%
5.2518%
5.2407%
5.2300%
5.2189%
5.2075%
5.1957%
5.1835%
5.1709%
5.1580%
5.1447%
5.1310%
5.1170%
5.1027%
5.0880%
5.0730%
5.0577%
5.0421%
5.0261%
5.0099%
4.9934%
4.9766%
4.9595%
4.9421%
4.9257%
4.9102%
4.8957%
4.8822%
4.8696%
4.8580%
4.8472%
4.8374%
4.8285%
4.8204%
4.8132%
4.8069%
4.8014%
4.7967%
4.7928%
4.7898%
4.7875%
4.7860%
4.7852%

0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%
0.00000%

0.388700
0.383542
0.378353
0.373407
0.368534
0.363736
0.359010
0.354306
0.349773
0.345260
0.340768
0.336346
0.332133
0.327846
0.323626
0.319472
0.315515
0.311489
0.307526
0.303626
0.299870
0.296092
0.292294
0.288675
0.285229
0.281607
0.278155
0.274755
0.271405
0.268105
0.264853
0.261612
0.258486
0.255369
0.252262
0.249196
0.246237
0.243252
0.240307
0.237399
0.234621
0.231785
0.228984
0.226158

1.011

1.014

1.014

1.014

1.014

1.019

1.011

1.014

1.014

1.017

1.019

[4]

0.9888

1.9527

2.8755

Bootstrap
7.00000%
6.50000%
6.00000%

3.7621

5.50000%
4.6143

5.4239

6.1938

5.00000%
4.50000%
4.00000%
3.50000%

6.9289

3.00000%
2.50000%

3.50000%
3.00000%
7.6199

8.2759

8.8969

9.4843

10.0440

10.5673

11.0622

11.5318

11.9775

12.3987

12.8000

2.50000%
2.00000%
0.000

5.000

10.000

13.1776

13.5368

13.8778

14.2017

14.5096

14.8039

15.0817

15.3469

15.5996

15.8409

16.0715

Bootstrapping a swap curve

Cubic Hermite interpolation of swap curve

Optimisation

00

Cubic Hermite interpolation of swap curve

Optimisation

10.000

15.000

20.000

25.000

curve

curve

25.000

30.000

3.9: Building a blended curve using optimisation

Today's date
Cash

1. Constructing the 3 monthly forward curve

3 mo.
forwards

4-Feb-08
6-Feb-08

1m
3m
6m
12m

4-Mar-08
4-May-08
6-Aug-08
6-Feb-09

Libor
3.18125%
3.14500%
3.09750%
2.89625%

Futures
Maturity
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11

Settlement
price

Maturity
date

Implied
forward

97.0000
97.4100
97.5200
97.4950
97.3950
97.2200
97.0400
96.8500
96.6650
96.4950
96.3400
96.2000
96.0600

19-Mar-08
18-Jun-08
17-Sep-08
17-Dec-08
18-Mar-09
17-Jun-09
16-Sep-09
16-Dec-09
17-Mar-10
16-Jun-10
15-Sep-10
15-Dec-10
16-Mar-11
15-Jun-11

3.0000%
2.5900%
2.4800%
2.5050%
2.6050%
2.7800%
2.9600%
3.1500%
3.3350%
3.5050%
3.6600%
3.8000%
3.9400%

Swap
1
2
3
4
5
6
7
8
9
10

6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18

Mid
Ann Act/360
2.7950%
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%

3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84
87
90
93
96
99
102
105
108
111
114
117
120

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16
6-May-16
8-Aug-16
7-Nov-16
6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256

[1]
3.14500%
2.74444%
2.53042%
2.50582%
2.55555%
2.70242%
2.88123%
3.07067%
3.25852%
3.43290%
3.59555%
3.74006%
3.88517%
3.99785%
4.08742%
4.18166%
4.28002%
4.37589%
4.46642%
4.55483%
4.63810%
4.71600%
4.78716%
4.85008%
4.90973%
4.96338%
5.01064%
5.06043%
5.10273%
5.14150%
5.18314%
5.22533%
5.25515%
5.27268%
5.28014%
5.28405%
5.28525%
5.28699%
5.28745%
5.28751%

Smoothing

[2]

DF's

Length
of time

1
0.992199
0.985288
0.978958
0.972729
0.966622
0.959992
0.952975
0.945395
0.938008
0.929851
0.921202
0.912575
0.903989
0.894650
0.885501
0.876239
0.866861
0.857377
0.847701
0.837947
0.828448
0.818582
0.808689
0.798788
0.789209
0.779324
0.769471
0.759647
0.750183
0.740454
0.730774
0.720938
0.711794
0.702128
0.692880
0.683747
0.674733
0.665834
0.657053
0.648292

0.000
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122
8.367
8.628
8.881
9.133
9.386
9.639
9.892
10.147

[4]
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

Z-c Rates

[3]
3.13270%
3.13270%
2.93160%
2.79416%
2.71967%
2.68600%
2.68720%
2.71361%
2.75783%
2.80960%
2.87097%
2.93710%
3.00225%
3.06646%
3.13339%
3.19537%
3.25543%
3.31416%
3.37163%
3.42834%
3.48374%
3.53614%
3.58891%
3.64013%
3.68966%
3.73611%
3.78248%
3.82713%
3.87034%
3.91072%
3.95095%
3.98990%
4.02848%
4.06334%
4.09885%
4.13148%
4.16241%
4.19171%
4.21951%
4.24591%
4.27125%

Total error fiting to market data =>

Smoothing measure
Arbitrage weight

Z-c Rates
gradient

0.4526
53.86
90%

Joint objective
Average error
0.0000
-0.0079
-0.0054
-0.0029
-0.0014
0.0000
0.0010
0.0017
0.0021
0.0024
0.0025
0.0026
0.0026
0.0026
0.0025
0.0024
0.0023
0.0023
0.0022
0.0022
0.0021
0.0021
0.0020
0.0019
0.0019
0.0018
0.0017
0.0017
0.0016
0.0016
0.0015
0.0015
0.0014
0.0014
0.0013
0.0012
0.0012
0.0011
0.0010
0.0010

2. Ensuring Arbitrage Freeness

Futures
Start

19-Mar-08
18-Jun-08
17-Sep-08
17-Dec-08
18-Mar-09
17-Jun-09
16-Sep-09
16-Dec-09
17-Mar-10
16-Jun-10
15-Sep-10
15-Dec-10
16-Mar-11
15-Jun-11

Day
count
0.117
0.369
0.622
0.875
1.128
1.381
1.633
1.886
2.139
2.392
2.644
2.897
3.150
3.403

Z-C rates

DF's

Market rate

3.1327%
3.0387%
2.8689%
2.7610%
2.7045%
2.6865%
2.6990%
2.7324%
2.7798%
2.8369%
2.8991%
2.9636%
3.0292%
3.0949%

1
0.996352
0.988836
0.982308
0.976131
0.969959
0.963590
0.956874
0.949769
0.942275
0.934400
0.926200
0.917721
0.908990
0.900042

[5]
3.0000%
2.5900%
2.4800%
2.5050%
2.6050%
2.7800%
2.9600%
3.1500%
3.3350%
3.5050%
3.6600%
3.8000%
3.9400%

DF's

Market rate

Day
count

Implied
rate

Error

Error^2
[6]
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253

3.0067%
2.6293%
2.5033%
2.5172%
2.6149%
2.7765%
2.9597%
3.1461%
3.3341%
3.5027%
3.6550%
3.7999%
3.9330%

-0.0067%
-0.0393%
-0.0233%
-0.0122%
-0.0099%
0.0035%
0.0003%
0.0039%
0.0009%
0.0023%
0.0050%
0.0001%
0.0070%

Implied
rate

Error

Swaps
Day
count
[8]
6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
6-Feb-14
6-Feb-15
8-Feb-16
6-Feb-17
6-Feb-18

Arbitrage
free
curve

Arbitrage
free
curve
with
smoothing

Joint
objective

3.14500%
2.72507%
2.46261%
2.55922%
2.43599%
2.84811%
2.67868%
3.37090%
2.77383%
4.09407%
2.66745%
5.24399%
1.51936%
5.36806%
4.01063%
4.01063%
4.43128%
4.43128%
4.45457%
4.45772%
4.75350%
4.84224%
4.84529%
4.84529%
4.91396%
5.00845%
5.01106%
5.01106%
5.01113%
5.11145%
5.11145%
5.17604%
5.23837%
5.45431%
5.34750%
5.34750%
5.42031%
5.42031%
5.42031%
5.45544%

3.14500%
2.72507%
2.46261%
2.55922%
2.43599%
2.84811%
2.67868%
3.37090%
2.77383%
4.09407%
2.66745%
5.24399%
1.51936%
3.56207%
4.75584%
5.13041%
4.68630%
4.41166%
4.30667%
4.37285%
4.61048%
4.79031%
4.91025%
4.97076%
4.97149%
4.97741%
4.98959%
5.00788%
5.03205%
5.06955%
5.12120%
5.18771%
5.26923%
5.33373%
5.38047%
5.40918%
5.41987%
5.42783%
5.43293%
5.43594%

3.14500%
2.74444%
2.53042%
2.50582%
2.55555%
2.70242%
2.88123%
3.07067%
3.25852%
3.43290%
3.59555%
3.74006%
3.88517%
3.99785%
4.08742%
4.18166%
4.28002%
4.37589%
4.46642%
4.55483%
4.63810%
4.71600%
4.78716%
4.85008%
4.90973%
4.96338%
5.01064%
5.06043%
5.10273%
5.14150%
5.18314%
5.22533%
5.25515%
5.27268%
5.28014%
5.28405%
5.28525%
5.28699%
5.28745%
5.28751%

5.79
-0.15 bps

1
0.972729
0.945395
0.912575
0.876239
0.837947
0.798788
0.759647
0.720938
0.683747
0.648292

1.017
1.019
1.011
1.011
1.017
1.014
1.014
1.019
1.011
1.014

[10]
2.7950%
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%

[9]

Error^2
[12]

0
0.9889
1.9527
2.8754
3.7614
4.6133
5.4232
6.1934
6.9284
7.6197
8.2770

2.7576%
2.7964%
3.0404%
3.2903%
3.5127%
3.7102%
3.8808%
4.0278%
4.1505%
4.2492%

0.0374%
-0.0014%
-0.0054%
-0.0153%
-0.0077%
0.0048%
0.0042%
-0.0028%
0.0045%
0.0158%

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

3 monthly Forwards

6.00000%
5.00000%
Axis Title

Market data for building a blended curve

4.00000%
3.00000%
2.00000%

Smooth
Arbitrage-free

1.00000%
0.00000%
0.000

2.000

4.000
6.000
Axis Title

8.000

10.000

0
3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84
87
90
93
96
99
102
105
108
111
114
117
120