October 31st, 2011, 11:59 am
Hello to all Willmotters.I'm currently trying to build a discounting curve using OIS and FF/Libor3m spreads.I can understand bootstrapping methods of OIS curve(to 1yr or 2yr) because it's quite a simple methodology, But It's very hard to get DF from FF/Libor 3m swap.Since FF/libor 3m swap pays arithmetic avg of FFE (H.15) +spread, So I cannot find out how to derive DF from those rates.Does anybody know how to bootstrap the DF from Fed Funds swap in longer term(from 1yr)? (how to deal with Arithmetic avg.)