Hello acastaldo,Do you know of a clear textbook or other reference which walks through the derivation of this partial expectation?Thanks.

<t>Ah. I think I have a Bloomberg subscription which doesn't allow access to the BBG screen. The 'Cashflows' tab which I have access to (through the BCSW screen) shows the "Reset Rate" if you choose to look at historical cash flows, but I can't see the projected LIBOR rates that they use to calculat...

<t>I see. Thanks much. This explains why, in the "Stripped Curve" Bloomberg data I'm looking at, the "market rate" and the "spot rate" are equal for the near maturities and different for longer maturities. This has been very helpful, thanks for your time.I'm also trying to replicate a Bloomberg BCSW...

I see. Thanks daveangel. I guess a better question is, how is LIBOR not zero coupon? For instance, doesn't 3-month LIBOR describe the cost of funds for 3-month maturities? Where are the coupon payments occurring?

Yes, the longer end of this curve is built out of swap quotes. Are you saying that, since swap rates are par rates, they need to be stripped? And that stripping the long end of the curve will result in the stripped rates for the short end of the curve being different to the quoted libor rates?

Hello,Can someone explain what the "Stripped Curve" screen is in Bloomberg when looking at SWDF curve #23 (USD 30-360 S/A)? I thought LIBOR rates were already zero rates, why do they need to be stripped?Many Thanks.

<t>Wow, thanks, this is incredibly useful, thanks a million! That link you sent is also very useful, it has tons of great material. One thing I keep seeing for the ABX index is the calculation of the "implied spread" = [discount to par] / Duration + [contractual spread]. Do you know where I might be...

<t>Thanks freddiemac! I've just reviewed the no arbitrage CDS argument in Hull (p. 641, 5th Ed.). It sounds like there are (approximate) riskless profits from 1) buying a five year CDS on and 2) buying a five year par bond from Corporation X; the return is the par yield y less the CDS premium s. No ...

I see, thanks tsquared. So if it's really a yield, then why is it called a spread?

Hi t-squared. I have a quick question for you. What is the rate that the "implied spread" is being calculated in reference to?