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How Does Bloomberg Use The OIS Curve To Get The Zero Rates

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16 views

How Does Bloomberg Use The OIS Curve To Get The Zero Rates

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felixniefeius
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9/9/24, 11:47 AM How does Bloomberg use the OIS curve to get the zero rates?

to get the zero rates? - Quantitative Finance Stack Exchange

How does Bloomberg use the OIS curve to get the zero
rates?
Asked 1 year, 1 month ago Modified 1 year, 1 month ago Viewed 2k times

I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read
the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly but
2 that didn't help as well.

For example, for the 1-week GBP OIS: Discount factor = 1 / (1 + 3.42880% * 7 /365) = 0.999343
Zero rate = -365/7 * ln(0.999343) = 3.42767% (BBG zero rate 3.42816%)

Could anyone please help point any mistake here? Thank you in advance.

bloomberg zero-coupon ois-discounting

Share Edit Follow asked Aug 6, 2023 at 21:28


Andrei Sultanov
31 2

1 Answer Sorted by: Highest score (default)

https://quant.stackexchange.com/questions/76333/how-does-bloomberg-use-the-ois-curve-to-get-the-zero-rates 1/3
9/9/24, 11:47 AM How does Bloomberg use the OIS curve to get the zero rates? - Quantitative Finance Stack Exchange

If you take screenshots, it helps if you do not cut off the important parts - or at least mention
where the screenshot is from. Usually, ICVS is where one would look for details about interest
2 rates.

However, I am almost certain your screenshot is actually from the 5) Curves Tab of SWPM .

Your calculation is correct for the continuously compounded Zero rate as shown on ICVS. The
dicount factor is computed from the zero rate.

However, if you hover over the value in SWPM, you will see that it uses the specific day-count
convention and compound frequency of the swap itself.

https://quant.stackexchange.com/questions/76333/how-does-bloomberg-use-the-ois-curve-to-get-the-zero-rates 2/3
9/9/24, 11:47 AM How does Bloomberg use the OIS curve to get the zero rates? - Quantitative Finance Stack Exchange

The first set of values is relatively simple.

Overall, replicating curve stripping (not just Bloomberg) exactly is quite difficult. It is not only
about knowing the correct method but also about taking into account all calendars, interpolation
etc.

Share Edit Follow answered Aug 7, 2023 at 22:34


AKdemy
9,349 2 25 128

I understand thank you so much for your answer! Indeed this is from the SWPM - I had assumed the zero
rates for a given OIS curve would always be the same - but clearly it depends on the application of it.
– Andrei Sultanov Aug 12, 2023 at 15:50

https://quant.stackexchange.com/questions/76333/how-does-bloomberg-use-the-ois-curve-to-get-the-zero-rates 3/3

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