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- November 1st, 2021, 5:13 pm
- Forum: Numerical Methods Forum
- Topic: Parallel Interest Rate Shocks (shock before boot strapping or after?)
- Replies: 4
- Views: 8672
Re: Parallel Interest Rate Shocks (shock before boot strapping or after?)
Thanks Everyone - All arguments make a lot of sense!
- October 27th, 2021, 12:13 am
- Forum: Numerical Methods Forum
- Topic: Parallel Interest Rate Shocks (shock before boot strapping or after?)
- Replies: 4
- Views: 8672
Parallel Interest Rate Shocks (shock before boot strapping or after?)
I'm looking to create interest rate shocks (parallel (25/50/75 bps up/down), non parallel (steepener/flattener) on a fixed income portfolio. Should I be shocking the market instruments before bootstrapping or shocking the zero curve after bootstrapping? This would apply to both swap curves (eg. USD...