Hi everyone, am wondering if you can help me with a little problem. I was using Bloomberg USD curves to imply out the 2-5-10 butterfly by valuing the individual swaps and took 2*5y-2y-10y as the quote. This when compared to other banks was around 3 bps out, which is higher than I expected. I tried turing to OIS discounting, but it made only a slight difference.
I guess it may be due to ... 1) interpolation, 2) choice of instruments (3m libor than next 12 imm eurodollars, then swaps..) or 3) convexity asjustment.
Does anyone know if there is a standard market practice for building the USD curve? Thanks very much for your help on this.