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pcaspers
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Posts: 701
Joined: June 6th, 2005, 9:49 am

Bloomberg Curve Stripping with IMM FRAs

September 24th, 2019, 9:57 am

Hey guys, 

I am trying to reproduce Bloomberg's Zero Rates for curves like S45 (Euribor 6M) and others. They have a (quite interesting!) smoothing scheme documented when serial FRAs are part of the curve (as in the EUR case) which I am able to verify very closely. 

I am not matching those curves with IMM FRAs though, so I am wondering a) should I apply some analogous smoothing scheme as for serial FRAs here as well and b) if such a procedure is in place, how exactly is it parametrised?

Has anybody gone through this already or can point me to some documentation I might be missing?

Thanks a lot
Peter
 
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pcaspers
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Posts: 701
Joined: June 6th, 2005, 9:49 am

Re: Bloomberg Curve Stripping with IMM FRAs

October 3rd, 2019, 11:34 am

so to answer my own question (by reverse engineering): a) no - it's due to other details and conventions of their bootstrapping methodology
 
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quanteric
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Joined: June 4th, 2010, 12:01 am

Re: Bloomberg Curve Stripping with IMM FRAs

March 12th, 2020, 1:16 pm

Hi pcaspers.  I have been trying to figuring out how Bloomberg implies the 1-5m cash rates for their 6M EUR curve, but without any success.  I can get close to iit, but not sufficiently close to fully reproduce their calculations.  I am wondering if you have any insights that you can share with us?  It would be very much appreciated.  Thanks.  Eric
 
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pcaspers
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Posts: 701
Joined: June 6th, 2005, 9:49 am

Re: Bloomberg Curve Stripping with IMM FRAs

March 29th, 2020, 3:12 pm

Hi Eric, I think I pretty much reproduced what they do. We are currently writing up a small note on this, I'll post a link here once this is done. In the meantime if you don't mind reading C++ code have a look here https://github.com/lballabio/QuantLib/blob/master/test-suite/piecewiseyieldcurve.cpp#L1262 where we bootstrap the 6M EUR curve in QL and compare against BBG. Thank you, Peter
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