Bootstrap a complete discount curve from market instruments (deposits, FRAs, futures, swaps). Bootstrapping is the process of constructing a zero-coupon yield curve from the prices of coupon-bearing instruments. The algorithm solves iteratively for discount factors at each pillar point that reprice the input instruments exactly. Supports multiple interpolation methods (linear, log-linear). Essential for derivatives pricing, risk management, and curve construction. Output includes discount factors at all curve pillars.
API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register
Reference date for the curve in ISO format (YYYY-MM-DD)
"2024-01-15"
Array of market instruments for bootstrapping
[
{
"instrument_type": "deposit",
"tenor": 0.25,
"rate": 0.025
},
{
"instrument_type": "swap",
"tenor": 2,
"rate": 0.035
},
{
"instrument_type": "swap",
"tenor": 5,
"rate": 0.045
}
]Interpolation method for the curve
linear, log_linear "log_linear"