Attached is a spreadsheet with a snapshot of bloomberg's FWCM MID curve as well as a snapshot of the input rates (Deposits, Futures, Swap) taken at the same time. I am using MonotonicLogCubicNaturalSpline on the Discount curve. I am seeing differences in forward rate calculations that are quite large - wondering if anyone might have some insight on what I may be doing incorrectly? Any insights greatly appreciated!
Thanks,
- Luis
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