Hi all, My Money market desk send me every year a new estimated rate for the EOY. So let imagine my USD libor 3M curves, i use a Dec Futures 13/12- 13/03as tenor. I considered my year end turn happened 31/12/10 - 04/01/10. I wonder how to fairly recompute my zero curve for the 16/03 ? From a sanity check point of view i can t calculated a Discount Factor (DF) from 16/12 - 31/12 using the DEC future market quote then used the EOY from 31/12 - 0301 and re-use the same quote Dec Future rate to calculate the period 04/01 - 16/03. Ametrano and Bianchetti "Bootstrapping the Illiquidity" explain "the effect can be modeled simply through a multiplicative coefficient applied to discount factor, or equivalently, an additive coefficient applied to zero rates, corresponding to all the dates following a given end of year".In my case i can t recalculate a multiplicative coef because the rate is given. What is according to you the best methodology to bootstrapp properly the curves for the EOY. Currently the method is wrong i really want to take into account these jumpsTo be very clear, i give you a current example DEC_10 Eurodollar 3M 13/12/10 - 13/03/11 : 99.15% ==> 0.85% (reuters source) EOY MM desk 31/12/10 - 03/01/11 : 0.95% (pure guess)How can i recalculate my DF03/01/11 ? Thanks a lot for your answer all comments will be appreciate actually. I know it s a basic topic but it would be very helpful to understand properly

Try googling "zero rate interpolation" or "swap curve bootstrapping". If you have access to bloomberg try seeing how they bootstrap a swap curve. Start with SWDF.