SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
pcaspers
Topic Author
Posts: 695
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
 
User avatar
pcaspers
Topic Author
Posts: 695
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
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On