Bloomberg FWCV and QuantLib

[epsteinm]

Hi,
Does anybody know how to build a term structure that will produce the same spot rates BBG shows in the FWCV screens?  I am using a Piecewise, Discount, Linear term structure built from deposits and swaps using the coupon levels on the FWCV front screen.  I only agree with BBG spot rates on the cash points.  I have tried every combination of calendars, day counters, business day conventions, compoundings and frequencies for the swap rate helpers, the term structure and the zeroRate method.  I am only sampling the curve at the swap maturities to avoid interpolation effects.  I am able to get close on the front end, but out at the long end i'm off by basis points.

My eventual goal is to match the Z-spread calculated by the YAS screen using the I52 curve.

Thanks in advance,

Marcus Epstein
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[Luigi Ballabio]

On Sat, 2008-05-24 at 12:09 -0700, Marcus Epstein wrote:
> Does anybody know how to build a term structure that will produce the
> same spot rates BBG shows in the FWCV screens?

Hi Marcus,
        how is the Bloomberg curve defined? For example, what does it
interpolate (discounts? zero rates? continuous or compounded?) and what
interpolation does it use?

Luigi


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