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Hi, I have recently been looking at OIS and specifically the SONIA and EONIA curves to build a stepped OIS curve based on central bank meeting dates. This was relatively straightforward as Bloomberg handily publishes meeting date OIS. However, I am now trying to look to do the same with Sweden, but am drawing somewhat of a blank. Having search the Wilmott, I have found many insightful forum posts for SONIA and EONIA, but as yet, nothing about Sweden - would someone be able to explain to me in layman's terms, how I could go about finding/calculating the meeting date OIS for Sweden? Any help would be gratefully appreciated. Many thanks in advance,JP

Well, the truth is that, in SEK, meeting-dated OIS similar to what you have in EUR & GBP just don't trade. There's a few different reasons for this, but it's probably not worth going into the gory details. Instead, what you have in SEK are the quarterly RIBA contracts (traded on the OMX), which are, in some ways, better.. You can find more details here: RIBA futures

Thank you for your swift reply Martinghoul. How would I derive a stepped curve or deduce 'what's priced in' from the RIBA contracts?

Well, with a bit of painstaking date magic and some interpolations, it shouldn't be too difficult. I mean people have been doing this with FedFunds futures for donkey's years and you can find a lot of papers on the subject. The beauty of RIBAs is that they remove the uncertainty of the O/N fixings and are based directly on the Riksbank rate, which makes everything a lot easier.

QuoteOriginally posted by: MartinghoulWell, with a bit of painstaking date magic and some interpolations, it shouldn't be too difficult. I mean people have been doing this with FedFunds futures for donkey's years and you can find a lot of papers on the subject. The beauty of RIBAs is that they remove the uncertainty of the O/N fixings and are based directly on the Riksbank rate, which makes everything a lot easier.OT: just for my personal curiosity: isn't it the same in the ECB forward eonia's quotes in BBG? Just to give a ticker: EUSF1A.

No, this is not the same, for a variety of reasons. Firstly, RIBAs are not based on meeting dates, but rather the IMM dates like the other STIRs. Secondly, like I mentioned, a RIBA contract's settlement is determined using the actual Riksbank rate, rather than the O/N mkt rate, which is what happens with EONIA/SONIA/FedFunds. In SEK, if you're truly desperate, you could probably also trade the Riksbank meeting dated STINAs (that's the proper equivalent to the ECB-dated EONIA, based on T/N STIBOR).