BlueGamma
  • Getting Started
  • Setting up your account
  • Features Overview
  • Interest Rate Swaps
    • Overview
    • Calculating a Swap Rate
    • Calculating the MtM of a Swap
    • Refinancing a Swap
    • Advanced
      • Download a Custom Table of Swap Rates
      • Benchmarking a Swap Rate with a Bank
    • FAQs
      • How Forward Rates Are Calculated
      • How Discount Factors Are Calculated
  • Forward Curves
    • Overview
    • Downloading a Forward Curve
    • Downloading Historic Forward Curves
    • Advanced
      • How to Access BRL Forward Curves and Download TLP Forecasts
    • FAQs
  • Government Bonds
    • Accessing Bond Yields
    • Accessing Forward Starting Bond Yields
  • Foreign Exchange
    • Downloading FX Forward Rates
  • Cross Currency
    • Overview
    • Pricing a Cross-Currency Swap
  • Integrations
    • Excel Add-in
      • Installation & Setup
      • Get Swap Rates
      • Get Discount Factors
      • Get Forward Rates
      • Get Swap Rate by ID
    • API
      • API Reference
      • How to Guides
        • Fetching a Swap Rate
        • Fetching Historical Swap Rates
        • Getting Forward Rates
        • Getting a Forward Curve
        • Getting Discount Factors
        • Validating BlueGamma API Data Against Bloomberg or Other Platforms
  • Accounts and Plans
    • Adding and removing seats
  • FAQs
    • Currency-Specific FAQs
    • Where does your data come from?
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  1. Forward Curves

FAQs

How Are Forward Curves Constructed?

Our forward curves are built using a combination of reliable market data and advanced methodologies:

  1. Data Sources: We use swap rates, forward rate agreements (FRAs), futures, and daily fixings (e.g., EURIBOR, SONIA) from reputable providers.

  2. Bootstrapping Process: A step-by-step technique ensures the curve is consistent with real market prices, starting with short-term rates and extending to longer maturities.

  3. Calibration: The curves are refined to align with observable market instruments, ensuring accuracy and usability for swap pricing and risk management.

This process provides precise, market-reflective curves to support informed decision-making.

What Is Bootstrapping in Forward Curve Construction?

Bootstrapping is a process used to construct forward curves by sequentially building from short-term rates to longer-term rates. It ensures that the forward curve is consistent with the pricing of financial instruments in the market. This step-by-step method allows for precise calibration to real market data.

Are Forward Curves the Same as Yield Curves?

Not exactly. While both represent interest rates over time:

  • Forward Curves project future interest rates based on current market prices.

  • Yield Curves show the interest rates of bonds (or other fixed-income instruments) with different maturities at a single point in time.

What Causes a Kink in a Bootstrapped Forward Curve?

Kinks or bumps in a bootstrapped forward curve often arise due to:

  1. Illiquidity: Certain tenors may lack sufficient market activity, causing irregularities in the derived rates.

  2. Demand/Supply Imbalances: Some maturities may experience higher demand or supply, influencing the pricing for those specific points on the curve.

  3. Data Anchors: Forward curves rely on market instruments (e.g., swaps, futures) at specific maturities. If data for one tenor differs significantly, it can create a bump.

Such kinks are most common in less liquid parts of the curve or where specific market instruments disproportionately impact the curve’s shape.

PreviousHow to Access BRL Forward Curves and Download TLP ForecastsNextAccessing Bond Yields

Last updated 4 months ago