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pierrelefou
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Posts: 52
Joined: July 10th, 2007, 8:00 am

Bloomberg's zero curve

August 20th, 2007, 12:41 pm

Bloomberg's zero curve is very boring:You can price a swap with bloomberg,use the cmd: <SWPM> GoYou have then the possibility to see a zero curve. If you have ever been confronted to a zero curve of bloomberg, do you know how it is calculated? If you have a zero cuve of bloomberg, do you know how to retrieve a discount factor displayed in bloom?Theoritically, I know how to built a zero curve from discount factors.Do you think that the help desk of bloomberg can help me with this? Where can I find info about this in bloombergthank you
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Bloomberg's zero curve

August 20th, 2007, 12:48 pm

Send to blommberg a message from HELP menu on your bloomberg.
 
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pierrelefou
Topic Author
Posts: 52
Joined: July 10th, 2007, 8:00 am

Bloomberg's zero curve

August 20th, 2007, 12:56 pm

thanks but they won't answer me because they dont give any info about their formulas.
 
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Wibble
Posts: 426
Joined: January 23rd, 2004, 3:15 pm

Bloomberg's zero curve

August 20th, 2007, 1:23 pm

you can export the curve to excel, but I wouldn't bother trying to reporoduce it
 
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Gmike2000
Posts: 801
Joined: September 25th, 2003, 9:49 pm

Bloomberg's zero curve

August 20th, 2007, 5:58 pm

In bloomberg you can set up your own curve, i.e. define the instruments you want to be used to derive the zero curve, for every currency. The default setup uses deposit rates, which is bad if you need live pricing after the libor fixings and the market has moved. In any case, bloomberg swap pricer gives you a couple of different methods for splining the (zero) curve based on the instruments you have chosen. The approaches are all well known and pretty standard. You can look them up on google.
 
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Emirex
Posts: 10
Joined: December 3rd, 2002, 12:22 pm

Bloomberg's zero curve

February 11th, 2009, 10:39 pm

So using deposit rates is bad if we need live pricing ... this is certainly because deposit rates in available in bloomberg are fixings.My question is the following : what is the solution to do live pricing ? What can we use for the yield curve short end ?Would aprreciate any commentsThanks
 
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Martinghoul
Posts: 3255
Joined: July 18th, 2006, 5:49 am

Bloomberg's zero curve

February 12th, 2009, 6:23 am

QuoteOriginally posted by: EmirexSo using deposit rates is bad if we need live pricing ... this is certainly because deposit rates in available in bloomberg are fixings.My question is the following : what is the solution to do live pricing ? What can we use for the yield curve short end ?Would aprreciate any commentsThanksWith all due respect, I think GMike is mistaken. Depos (e.g. ticker USDRC Curncy) are live and trade independently of the fixings (although there are occasionally issues with the prints). I have used them in the past for live curves. The alternative is to use live EONIA rates with spreads, but that's actually more difficult to build.
 
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Gmike2000
Posts: 801
Joined: September 25th, 2003, 9:49 pm

Bloomberg's zero curve

February 12th, 2009, 8:40 pm

agree, i probably meant libor fixings instead of depo rates, sorry for the confusion
 
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sagorD
Posts: 5
Joined: February 5th, 2013, 1:43 am

Bloomberg's zero curve

February 7th, 2013, 3:59 pm

Hi Pierre,I have been trying to match zero rates from market rates on Bloomberg for USD Curve 23, but am struggling to match those numbers. I was wondering whether you have already figured this out and would share any the document in the forum.Thanks in advance.Sagor
 
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Alan
Posts: 10176
Joined: December 19th, 2001, 4:01 am
Location: California
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Bloomberg's zero curve

February 7th, 2013, 7:21 pm

Hints to Sagor and other newb's:1. Check the date of the threads you are replying to.2. While it's always possible that an ancient poster is still active, you can use the search function to confirm inthis case that pierrelefou's last post was in 2007.
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