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.
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.
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?
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
We’ve now published a - repo https://github.com/OpenGamma/Strata-Extras - that contains the code we currently have for bond curve calibration. It is intended as a starting point for others to copy and develop further. Bond curve calibration is not a current priority for OpenGamma given our limited resources, but we felt it better to put the code we do have out for anyone to take and use (as per the Apache 2 license).