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How to build an OIS curve ? Or at least where to find it ?
Posted: October 28th, 2004, 2:52 pm
by zzbool
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.
How to build an OIS curve ? Or at least where to find it ?
Posted: January 14th, 2005, 5:38 am
by paulbennett
How to build an OIS curve ? Or at least where to find it ?
Posted: January 14th, 2005, 5:43 am
by paulbennett
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 ?
Posted: January 14th, 2005, 6:19 am
by domilar04
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.