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 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.

Some figures;

Curve date 17/03/2022

The first 4 pillars are, just cpns;

start;end;curve output DF;curve output rate;instrument coupon rate

18/03/2022;18/04/2022;1.010040619;-11.39546714;-11.3405

18/03/2022;18/05/2022;1.009536862;-5.58783977;-5.4675

18/03/2022;21/06/2022;1.004647416;-1.762892873;-1.65791

18/03/2022;18/07/2022;0.990829309;2.733939251;7.776955288

4M pillar instrument has 2 cpns - flow is calculated from coupon rate just nominal*(rate+margin)*time;

start;end;nominal;flow;coupon rate;margin

18/03/2022;18/04/2022;102,250,000;-3,724,406.75;-11.3405;54.22743

18/04/2022;18/07/2022;102,250,000;-15,806,446.69;7.776955288;54.22743

The curve output that I'm trying to match is;

offset days;discount factor;rate

32;1.065496376;-11.39546714

62;1.117108784;-5.58783977

96;1.165126197;-1.762892873

123;1.185361274;2.733939251

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

best regards,

1BP