Re: Unable to bootstrap USD 3M libor curve
Posted by
Luigi Ballabio on
Jun 01, 2017; 3:43pm
URL: http://quantlib.414.s1.nabble.com/Unable-to-bootstrap-USD-3M-libor-curve-tp18312p18324.html
I don't think so. The idea should be something like: the OIS rate R is the fair fixed rate paid by the fixed leg against which the overnight rate is paid. The swap rate S is the fair fixed rate to be paid against the 3M LIBOR. I'm not familiar with the conventions with which the basis swap is quoted (hence my original question): the basis B could be the spread that should be subtracted to the LIBOR or the spread that should be added to the OIS coupon so that the LIBOR leg equals the overnight-rate leg. Assuming the first, we should have something like:
OIS leg := R
OIS leg := LIBOR leg - B
LIBOR leg := S
so you can find the OIS rate R from S and B --- assuming the fixed leg in the OIS and the one in the ordinary swap have the same conventions. If one is quarterly and one is semiannual, for instance, the above needs to be adjusted accordingly.
That's just off the top of my head, though. If anyone is more familiar with the US conventions, by all means step in.
Luigi
hi Luigi;
it's a quarterly compounding rate (as per ICAP). So I guess we need to convert that to daily compounding?
Thanks,
Sumit
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