The OIS rate is a daily rate, and the 3M LIBOR rate is quarterly, but is the basis a daily or quarterly rate?On Thu, Jun 1, 2017 at 1:33 PM Sumit Sengupta <[hidden email]> wrote:Hi Luigi;What I am doing currently is:OIS_Rate = USD_Libor_SwapRate - BasisBut I am unsure how to modify this to take into account the difference in compounding (daily vs quarterly) using Quantlib.ThanksSumitOn 1 June 2017 at 11:24, Luigi Ballabio <[hidden email]> wrote:Hello,it probably depends on the way the basis is quoted. Is it a spread to add to the 3M leg in order to equal the OIS leg, or the other way around?LuigiOn Mon, May 29, 2017 at 6:49 PM Sumit Sengupta <[hidden email]> wrote:Thanks a lot Luigi. That works fine.Can you please comment if I am doing the OIS (FF discounting) correctly? I am taking the basis swaps between O/N FF and 3M USD Libor and taking the:-OIS rate = 3M USD Libor - spreadIs this as simple as this or do I need to do something else?Thanks,SumitOn 29 May 2017 at 14:25, Luigi Ballabio <[hidden email]> wrote:Hello Sumit,as far as I can see, you're using self.helpers to store the list of helpers for both bootstraps. When you bootstrap the OIS curve, you fill self.helpers with the OIS swap helpers. When you bootstrap the Libor curve, you don't clean it up and add the Libor helpers (line 48, `self.helpers += [...]`). This way, the second curve tries to bootstrap over both the Libor and OIS swaps and can't find rates that fit all of them. To avoid mixups, I'd use two different variables for the two sets of helpers.Hope this helps,LuigiOn Sun, May 28, 2017 at 11:37 PM Sumit Sengupta <[hidden email]> wrote:------------------------------Hi;I recently purchased the pdf book quantlib python cookbook by Luigi BallabioI have been trying to bootstrap a USD 3M libor curve using a OIS (FF) discounting curve, but it keeps failing.Please see code attached.Can someone please help me?ThanksSumit-------------------------------- ------------------
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