Bond Curve Calibration

Strata
1

I’m new to OpenGamma. Currently looking to calculate bucketed PV01 for government bond curve.

From the post, I explored github/OpenGamma/Strata-Extras and couldn’t find any reference to FixedCouponBond.

Has there been any change in priority to support bond curve calibration?

2

See com.opengamma.strata.product.bond.FixedCouponBond which is part of strata-product

3

Thanks @stephen. I was finally able to get it to work after spending sometime with the code. Unfortunately, I can’t upload my changes to github due to internet restrictions.
Roughly the changes I made (following Repo code),

  • FixedCouponBondConvention
  • FixedCouponBondConventions
  • FixedCouponBondCurveNode
  • FixedCouponBondTemplate
  • ImmutableFixedCouponBondConvention
  • StandardFixedCouponBondConventions

Extend LegalEntityDiscountingTradeCalibrationMeasure::BOND_PAR_SPREAD
dirtyPriceFromCurves() - dirtyPriceFromCleanPrice(market_price)

Similar set of changes with Bill.

Thanks Stephen

4

Hello bevinahal, would you be able to share your code? I’d be appreciate it a lot if I could look at your code and learn from it.

Also did you get it to work all the way? Were you able to construct the zero-rate curve for a bond?

You also write “Extend LegalEntityDiscountingTradeCalibrationMeasure::BOND_PAR_SPREAD” But LegalEntityDiscountingTradeCalibrationMeasure is final, how did you end up extending it? :slight_smile: I’d be happy to learn from your experiences.