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by OneBasisPoint
April 11th, 2022, 5:36 pm
Forum: Student Forum
Topic: Basic curve building - estimation curve
Replies: 4
Views: 6321

Re: Basic curve building - estimation curve

Hey 1bp, Great to hear, curious about what system you were using is it a Vendor solution or inhouse?  Rgds, M Hi - it is Vendor - Murex. Actually still stuck on something - I have 3M coupons that I'm using to generate a forward estimation curve, for <3M I just convert the coupon rate from simple to...
by OneBasisPoint
April 5th, 2022, 5:26 pm
Forum: Student Forum
Topic: Basic curve building - estimation curve
Replies: 4
Views: 6321

Re: Basic curve building - estimation curve

Hey 1bp, Do you think you can add a couple of screenshots of what you're looking at? a picture is worth a thousand words. Some questions that might help: 1. Is it a USD-TRY FX Curve? built with Xccy Swaps? or FX Swaps? both? 2. What do you consider your base/funding/risk-free currency? USD or TRY? ...
by OneBasisPoint
April 4th, 2022, 2:14 pm
Forum: Student Forum
Topic: Basic curve building - estimation curve
Replies: 4
Views: 6321

Basic curve building - estimation curve

Hi, can't get my head round this - trying to duplicate values generated by a computer system, building an IR curve, calibrating by 3M currency swaps, say TRY-USD. The curve in question is used as the estimation curve, with another TRY curve for discounting. I've managed to find all the currency swap...