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.