0
$\begingroup$

What is meant by the statement below:

"Stripping projection curve (e.g. 3M curve) given the OIS curve"

I understand that while bootstrapping an OIS curve using OIS swap rates and OIS fixed rates, we can derive implied forward rate of all periods.

$\endgroup$
1
$\begingroup$

I think that's it, you just strip your OIS rates while boostrapping. Most OIS Swap Rates are Bullet contract par swap rates, so you might want to obtaint the Zero Curve.

If you were quoting Zero Swaps, you wouldn't need to.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.