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