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Bootstrapping CNY Swap Discount Factors from SHIBOR Curves

Article Quant Q&A · Author: Suresh Kunnoth
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Summary

The post asks how to construct a CNY interest-rate swap curve that matches Bloomberg, focusing on discount factors beyond the short end. The author reports converting maturities through nine months with an Actual/360 simple discount formula, then using annual-frequency bootstrapping for longer maturities. The resulting zero-coupon yields appear to match Bloomberg, but converting those yields into discount factors does not; annualized discounting comes closest. The author also asks whether a curve referencing three-month SHIBOR should use interpolated quarterly coupons or quoted annual rates during bootstrapping.

The only reply suggests that the relevant CNY swap curve may be an overnight-indexed swap curve with weekly compounding, rather than a LIBOR-style curve. This is a brief, tentative pointer, not a complete calibration recipe: it does not identify the index or specify interpolation, instrument conventions, or discount-factor conversion in enough detail to reproduce Bloomberg’s curve. The post is useful as a reminder that currency-specific curve conventions and compounding assumptions matter when comparing market curves.

Key ideas

  • CNY swap-curve replication depends on using the correct reference index and market conventions.
  • Matching zero-coupon yields does not guarantee matching discount factors if compounding assumptions differ.
  • The reply tentatively characterizes the CNY curve as overnight indexed with weekly compounding.
  • The document does not provide enough convention detail for a full curve-construction procedure.

Tags

Fixed incomeChina marketsDerivatives pricing
Full text
# CNY IRS Fixed Vs 3 Month SHIBOR. Can any one please confirm the curve practices ?


# CNY IRS Fixed Vs 3 Month SHIBOR. Can any one please confirm the curve practices ?












AM trying to match CNY Swap Curve with Bloomberg. Yields unto 9 months can be converted to dfs using 1/(1+rt), where t = Actual Number of Days / 360.

One year and boot strapping method was used with Annual frequencies to match with Bloomberg results. The generated ZC Yields can be matched with bloomberg. But converting the ZC Yields into DF is not matching. The closest I have come is with the annualised discounting. (1/1+R/1)^(1*T) where T is Actual N / 360

Can any one please enlighten me how this curve needs to be boot strapped and discount factors generated so that I can match it with bloomberg.

Also, since the floating rate is 3 month SHIBOR, while generating ZCC curve, shall I bootstrap using interpolated (linear) coupons for quarters or bootstrap with the given yearly rates.

## Answer by Math (score 1)

https://quant.stackexchange.com/a/42293

There is no CNY LIBOR to speak of. The CNY swap curve is OIS (don't know the index off the top of my head) and the compounding is weekly.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.