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Hi,I am having hard time creating a BRL yield curve to price a EUR/BRL cross currency swap. If I am using 3m curve for the EUR leg, which instruments should I use to build the BRL curve? And are there quotes for EUR/BRL basis curve? At least I cannot find any quotes from Bloomberg.Any help appreciated.Br,Jack

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Hello, I am using the interest rate futures in BRL for the BRL yield curve.To get their Bloomberg tickers, start from the generic first one 'OD1 Comdty' and then query for the future chain FUT_CHAIN field via the FLDS function in the terminal.These futures do not exactly work like the 3M Euribor futures as the underlying rate is an overnight rate, the basis convention is BU/252 (that is the number of business days between two dates - Brazilian calendar - divided by 252 for a full year) and they are quoted at '100*rate' (where Euribor futures quotation method is '100*(1-rate)').There is a future for each month and its expiry is the last business of the previous month.Given these conventions, you can apply a simple bootstrapping method which differs from the classical one applied to Libor futures:if you know how to calculate the interest amount implied by a future rate between the spot date and the future expiry, then the corresponding discount factor is obviously 1/(1+this interest amount).Have a nice implementation...

the curve is visible using cmdty (f9) ccrv