Crate a Government Bond Curve


#1

Is there a way to Construct a Yield Curve based on bills and bonds?
I have been trying to figure this out from documentation but found no examples of this.

I could possibly “replicate” bonds as IRS and construct a curve.

But glad if it could be more straight forward.


#2

Strata does not yet have curve calibration for bonds/bills. We hope to add it at some point, but it could be a while. The approach of replicating via IRS is the best available approach for now.


#3

I have a follow up question on this - if we assume we’re going to create a curve using swaps we can just create a CurveDefinition representing that and plug in some bond prices - should we also be using a RatesCurveGroupEntry or can that be omitted somehow, and if we do need it, should we create a subclass of com.opengamma.strata.basics.index.Index to use?


#4

Hi Stephen,

I suppose it is two major differences that needs to be applied to do Bond Curves.

1/ Dated gridpoints, not generic tenors.

2/ Fixed Coupon and a Percentage Price, not par rates and price 100.

What is the plans to include this at this point?

If I like to get this developed by you on a Commercial basis, how much would it cost?

Best Regards

Torbjörn Lindström

Mobile +46 733 919166