Project status : 1. sourcing data

In this project, I am building zero coupon yield curves (and to calculate discount factors and forward rates) that can be used to discount cashflows received on future dates.

The project is divided into three parts:

1. sourcing data
2. bootstrapping zero coupon yield curves
3. setting up solver and interpolation methods

Resources helpful in this project:

1. Advanced Yield Curves for Electronic Markets https://www.youtube.com/watch?v=ErWlhxbXE_M

Detailed process of above three parts of the project.

1. sourcing data: Sourced price/ interest rates data from liquid intruments in the market. Instruments such as Cash/Deposit rates, STIR futures, IR Swaps.

2. bootstrapping zero coupon yield curves

3. i. setting up solver

4. ii. setting up interpolation methods