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pj


Total Posts: 3612
Joined: Jun 2004
 
Posted: 2021-08-19 08:33
I know it's a basic basic question
and most probably to the void. Anyhow,
what instruments are used for bootstrapping the €STR curve?
In real life?

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

nikol


Total Posts: 1377
Joined: Jun 2005
 
Posted: 2021-08-20 09:14
Not sure but have you asked this question before? or someone else?

Answer is : Any $STR product, if you properly account for the liquidity and bid-ask as proxies of error bands. Write pricing functions, bootstrap them from quotes. If there are discrepancies/inconsistencies, resolve them. You know all the theory, as far as I know :).

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

pj


Total Posts: 3612
Joined: Jun 2004
 
Posted: 2021-08-20 09:56
@nikol
Your answer is that of a real mathematician.

My question is more humble.
What instruments for bootstrapping the
€STR curve are used in practice?

And no, it wasn't asked here.

For example, it looks like BBG is creating
sham, i.e., synthetic compound index swaps
for their curve.

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

nikol


Total Posts: 1377
Joined: Jun 2005
 
Posted: 2021-08-20 14:03
I meant this, because I remember we had a conversation here on this topic.

https://www.nuclearphynance.com/Show%20Post.aspx?PostIDKey=199955

However, I see now that you look for exactly STR and exactly for list of calibration instruments.

Sorry, I do not have that exact info, just suggested how to do it. If you have Bloomberg at hand, you can try building the curve with their "curve builder" screen (do not remember exact name, I have no access to BB). Same can be done with Eikon (Reuters API).
I mean experimentation part. Once you understand the space, you can implement it yourself if not happy with these platforms.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)
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