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How to build an OIS curve ? Or at least where to find it ?
Hello,I'm looking for help from practitioners to explain how one could build an OIS curve : what is the data required, what is the method to use ?If you have any pdf or reference that could help me, I'll be delighted. I've got another question : does Bloomberg, Reuters or any other data resource provide the OIS curve ?Your help will be greatly welcome !Thanks in advance !Regards.
Last edited by zzbool on October 27th, 2004, 10:00 pm, edited 1 time in total.
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- paulbennett
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How to build an OIS curve ? Or at least where to find it ?
ZZBOOL, I had similar questions. Did you find any good references in the end? Paul
How to build an OIS curve ? Or at least where to find it ?
Reuters seems to provide OIS rate till 3 year, but those rates above 1 year is not so liquid.Get OIS rate from the market and bootstrap the OIS curve.