Great to hear, curious about what system you were using is it a Vendor solution or inhouse?
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 continuous compounding, calc the discount factor over the coupon length, mult by the discount factor between the start of the curve and the start of the coupon, and convert that back into a continuous compounded rate.
Unfortunately that doesn't match for >3M pillars, there's then more than 1 coupon, my calc doesn't work - tried several things but no joy.
Curve date 17/03/2022
The first 4 pillars are, just cpns;
start;end;curve output DF;curve output rate;instrument coupon rate
4M pillar instrument has 2 cpns - flow is calculated from coupon rate just nominal*(rate+margin)*time;
The curve output that I'm trying to match is;
offset days;discount factor;rate
Tried things like adding the 2 coupon flows & finding the average rate that gives the same total etc etc but not sure what I'm doing.
For the 1st 3 pillars the curve rate is Ln(1+(cpn rate)/100*(cpn length)/365); convert to discount factor exp(-rate*(cpn length)/100) adjust by 1 day (17-18th = 1.000312253) then convert back to continuous compounding rate (using (17th-cpn end)/365) to get the curve output rate.
That doesn't work for the 4M pillar with 2 coupons.
Any help gratefully received