Generic Calibration of one delta and several basis curves

Hi All,

My first post on the forum, looking at calibration of multiple basis curves aimed at understanding curve capabilities in Strata.

Imagine a very simple Dollar ‘curve cluster’ comprising:
⦁ a strip of delta drivers (say, USD Fixing, ED Strip and AM3 straight IRS 3y-20y)
⦁ LIBOR/FF basis swaps wavg on ois leg (say only 5 … 3m, 6m, 1y, 5y and 10y)
(For now, one delta and one basis - a 3m/ois basis - in our dollar curve cluster. Will add further complexity as we build on this thread).


  1. What is the calibration outcome internally? Am I right to assume it is
    ⦁ A term structure (strip of fwd rates) for the 3M Libor rates
    ⦁ A term structure for the 3M-OIS basis - a “basis curve” with daily spread rates
  2. Do you allow for supplying a interp/exterp spec for the outright and spread term structures separately?
  3. Would the solver be able to resolve separate delta drivers for separate segments of the curve? (say I want to use OIS swaps for first 6 months in some combination and want the 3m/OIS spread supplied in spread table to represent a “spread to the underlying OIS” … and beyond 6 months supply EDs and IRS and the 3m/OIS spread represents “a spread under the 3M”)


Please see a similar curve calibration example in strata-example. The ED strip can be added by modifying the config file and adding relevant market quotes.

  1. The resulting curves in this configuration are FED-FUND curve and 3M-LIBOR curve.
  2. Yes. Please see the curve setting file.
  3. Yes, as far as the curves for underlying indices of the curve node instruments (FED-FUND and 3M-LIBOR in the example above) are defined in the curve group.

Hi, thank you for your response! this is very helpful.

My second set of questions is around speed, risk localisation vs smoothness of bootstrap:

  1. With the suite of instruments provided in my earlier post, what would be the typical order of calibration time? Is ‘futures tick’ sync practical in real-time.
  2. This might be a favour I ask (I have yet to set up Strata environment) - what would the risk localisation look like on a PCHIP interp? Let’s say we’re doing a (i) 5y5y IRS AM3, (ii) 1w-fwd 5y IRS AM3
  3. Lastly, let’s say we do a 5Y outright OIS swap. Am I right to assume that we will see risks on (1) 5Y IRS for delta, (2) 5Y LIBOR/OIS Basis for spread? More generally, risks will be implied on individual instruments supplied (whether basis or outright) and not the underlying fwd-curves ?

I understand (2) is a massive favour I ask but it’ll really help to understand capabilities of the framework,