Let's say we have 1 month OIS Rate and a 2 month OIS rate. How can I construct a 1m1d rate? Bloomberg computes a lot of these one day rates for several months ahead. Thank you
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$\begingroup$ Did you ask the help desk? $\endgroup$– AKdemyCommented Sep 28, 2021 at 20:23
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$\begingroup$ They do not provide prove outs... $\endgroup$– Lorenzo MazzeiCommented Sep 28, 2021 at 21:09
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$\begingroup$ They should show you how it's done though and give you the white paper(s). What have you tried so far? Asking how it's done isn't the same as asking for a complete replication. $\endgroup$– AKdemyCommented Sep 29, 2021 at 6:00
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$\begingroup$ This question is essentially identical. $\endgroup$– AKdemyCommented Sep 29, 2021 at 6:06
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