A simple curve bootstrapping tool. It uses ORE as backend and parses configuration files (see example below) and transform them into QL/ORE objects.
Documentation is available at https://jmelo11.github.io/curveenginedocs/
For building the project, you need to have cmake installed. Then, run the following commands:
python -m buildFor a more detail example, visit the example folder.
{
"refDate": "2023-02-14",
"curves": [
{
"curveName": "SOFR",
"curveConfig": {
"curveType": "Piecewise",
"dayCounter": "Actual360",
"enableExtrapolation": true,
"rateHelpers": [
{
"helperType": "Deposit",
"helperConfig": {
"dayCounter": "Actual360",
"tenor": "1D",
"calendar": "NullCalendar",
"settlementDays": 0,
"endOfMonth": false,
"convention": "Unadjusted"
},
"marketConfig": {
"rate": {
"value": 0.0455,
"ticker": "SOFRRATE CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "1W",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.045555000000000005,
"ticker": "USOSFR1Z CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "2W",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.045568,
"ticker": "USOSFR2Z CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "1M",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.04564,
"ticker": "USOSFRA CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "3M",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.047723,
"ticker": "USOSFRC CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "6M",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.050135,
"ticker": "USOSFRF CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "12M",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.051856,
"ticker": "USOSFR1 CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "3Y",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.042443,
"ticker": "USOSFR3 CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "5Y",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.037866,
"ticker": "USOSFR5 CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "7Y",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.035910000000000004,
"ticker": "USOSFR7 CURNCY"
}
}
},
{
"helperType": "OIS",
"helperConfig": {
"tenor": "10Y",
"dayCounter": "Actual360",
"calendar": "NullCalendar",
"convention": "Following",
"endOfMonth": true,
"frequency": "Annual",
"settlementDays": 2,
"paymentLag": 2,
"telescopicValueDates": true,
"index": "SOFR",
"fixedLegFrequency": "Semiannual",
"fwdStart": "0D"
},
"marketConfig": {
"rate": {
"value": 0.03464,
"ticker": "USOSFR10 CURNCY"
}
}
}
]
},
"curveIndex": {
"indexType": "OvernightIndex",
"tenor": "1D",
"dayCounter": "Actual360",
"currency": "USD",
"fixingDays": 0,
"calendar": "NullCalendar",
"endOfMonth": false,
"convention": "Unadjusted"
}
}
]
}