Hi there,I need to get the benchmark Euro interset rate swap rates curve going back 10 years.But what is the benchmark curve?I have access to Bloomberg so please feel free to include Bbg codes.I assume at the short end up to 12m I use money market instruments, can someone let me know what the benchmark instruments are (3m fwds/6m fwds).Also for 2y to 60y I should use swap rates, again please let me known what the benchmark rate should be: is it 3m or 6m with act/360?Also has the benchmark changes in light of the new OIS discounting? What is the new OIS based benchmark/when should I use it from?CheersBaz

Bloomberg curve 45Shorter-dated instruments to use are 3m Euribor futures, but then you need to apply the 3s6s basis, as well as the convexity adjustment. Swap rates that should be used are ann 30/360 fixed vs semi ACT/360 6m Euribor.The benchmarks haven't changed (not yet), but their interpretations may have.

Thanks Martinghoul,Is there an option in bbg to apply the 3s6s basis and convexity adjustments?If not where an I find the data and what are the formulas that I need to apply?Also you are a little cryptic in your last statement. If I calibrate a curve from pre crash era to the new dual dicount curves am I still comparing like with like or is it apples and oranges?

I think BBG does the right thing, but I am not 100% sure... They definitely calculate and use convexity adjustments. You can use ICVS to tweak the construction methodology.The data is available on BBG and I can't really tell you what the formulae are. I think it's best done iteratively.As to your last question, it's all about what you're trying to achieve exactly. I imagine it should be like with like, unless you're looking for something very fancy.

Hi there,What I want is pretty simple I am just trying to find the average parameter values for a Svensson style model over the past 10 years of swaps data.So I just want to find the "average curve".I take it there would be no problems for this simple application?

Try DOCS 2052133. It will give you tickers for Bbg boostrapped discount factors for various curves. You should be able to get some history on the same tickers. Would assume this is the quickest route if one is happy with Bbg bootstrapped curves.

Thanks qhedge!Happy is probably not the right word, but I have no choice.