Short term Interest Rate Curve Construction
Budget: £250 – £750 GBP
I help with granular FRA curve construction in Excel (perhaps w/ some help from python or quantlib) - from generic tenors i.e. 1x4, 2x5, 3x6 FRAs but to include steps for Central Bank meeting dates, then be able to calculate zero curves as well as fwd-fwd FRA rates. Very simple I know but something that I am looking for a little help with - we can take any single CCY for example NOK and use that as the base case. Even more vanilla than this, would like help constructing zero curves and fwd-fwd curves that would look at USD SOFR (priced from SOFR futures), USD FF (priced from Fed Fund futures) and SONIA futures with meeting dates as jumps.
I'm in the process of writing a more detailed brief - an example one is attached but I'd really like to discuss the project over the phone / zoom first.
With regards to pricing - please provide a quote for the requirements listed only in the document so far.
I'm in the process of writing a more detailed brief - an example one is attached but I'd really like to discuss the project over the phone / zoom first.
With regards to pricing - please provide a quote for the requirements listed only in the document so far.