Serving the Quantitative Finance Community

 
User avatar
quanteric
Topic Author
Posts: 6
Joined: June 4th, 2010, 12:01 am

Bloomberg World Interest Rate Probability WIRP calculations

October 4th, 2022, 1:27 pm

Hi, am wondering if anyone have successfully figured out the logic underlying the Bloomberg WIRP OIS model?

I gather that it takes in the 1W and then monthly swap tenors.  It builds a curve via bootstrapping under the assumption of constant overnight rate.  Taking the rate that would clear the 1w swap as the rate before the first meeting, and then bootstrap.

The issue I came across is that the mapping between the meeting dates and the bootstrapped monthly flat rate is not straightforward and I am wondering if anyone has any experience trying to match the numbers?

Thanks