OIS Discounting - Curve Bootstrapping - Part 1: The Theory

[@danielalanistellez3178]

Great video and great explanation, can't wait for part two of the excel implementation!!!

[@oreacademy]

Hi @danielalanistellez3178, thanks for your kind comment. We are hoping to release part 2 in the next few days :)

[@danielalanistellez3178]

​@@oreacademy Hi Alexis, I hope you're doing well. Do you have any updates on part two of the video? It seems like you’ve abandoned us haha.

[@oreacademy]

@@danielalanistellez3178 I am delighted to say that part 2 will be released tomorrow (Friday 13 Sep) at 3pm London time. It was a bit of a hurdle but we finally got there and the next file releases will be smoother.
While you wait for the video release, you can already access the files though, enjoy! :)
github.com/OpenSourceRisk/Tools
And if there are any bugs or feedback, please don't hesitate to raise them at [e-mail]

[@daniel_alanis]

Amazing video!
Where can I find part two of Excel implementation?

[@oreacademy]

Thank you very much for the feedback @daniel_alanis, I am delighted to say that part 2 will be released tomorrow (Friday 13 Sep) at 3pm London time. While you wait for the video release, you can already access the files though, enjoy! :)
github.com/OpenSourceRisk/Tools
And if there are any bugs or feedback, please don't hesitate to raise them at [e-mail]

[@vincenttan1954]

@oreacademy At 31:20, shouldn't the cash flow date 1Y before December 27, 2023, be December 27, 2022? Also, at 32:41, please confirm if the speaker is referring to the swap rate rather than the price of the swap. These two terms are different: the swap rate is the agreed-upon fixed rate in the swap contract, while the price of the swap is the net present value (NPV) of the future cash flows of the swap.

[@oreacademy]

Hi @vincenttan1954, that's a typo. Very well spotted, thank you for pointing it out

[@AbulKalamFaruk-eh8ev]

Hi, is the spreadsheet released as version 12 of ORE is already out.

[@oreacademy]

Hi, thanks for your interest @AbulKalamFaruk-eh8ev. The second part of this tutorial and the Excel spreadsheet that goes with it will likely be out in the coming weeks. We are setting up a new repository to upload all the additional tools related to this channel and there are some constraints we didn't anticipate, so it couldn't be uploaded at the same time as our 12th ORE release. Thanks for your patience in advance, we are also eager to release this to our community as soon as possible!

[@karavanidet]

Part 2?

[@oreacademy]

Hi @karavanidet, I am delighted to say that part 2 will be released tomorrow (Friday 13 Sep) at 3pm London time.
While you wait for the video release, you can already access the files though, enjoy! :)
github.com/OpenSourceRisk/Tools
And if there are any bugs or feedback, please don't hesitate to raise them at [e-mail]

[@alpserbetli6219]

where is the part 2 of python implementation of OIS curve zero deravation

[@oreacademy]

Hi @alpserbetli6219, if you are referring to part 2 of this video, we are expecting to release it in a few days hopefully.
Regarding the Python implementation related to an OIS curve bootstrapping I am mentioning at 01:25 in this video, this has not been created yet and it might not come out before a few months I am afraid. The notebook I am showing can be found in the ORE Swig repository but is unrelated to bootstrapping.
I invite you to check our latest video if you are interested in the Python library in general: th-cam.com/video/McILG4PlNFc/w-d-xo.html

[@alpserbetli6219]

@@oreacademy did u put the excel and git for python

[@oreacademy]

Hi @alpserbetli6219, I am delighted to say that part 2 will be released tomorrow (Friday 13 Sep) at 3pm London time.
While you wait for the video release, you can already access the files though, enjoy! :)
github.com/OpenSourceRisk/Tools
And if there are any bugs or feedback, please don't hesitate to raise them at [e-mail]