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I'm trying to recreate some historical curves using EONIA swap rates. Unfortunately I can't find a concrete specification for the swaps. Without knowing if there are intermediate coupon payments, I can't accurately bootstrap the curve. I've spent maybe 6/7 hours today looking for these so any help from memory or otherwise would be much appreciated.

This is the index whose values I'm trying to use: http://www.emmi-benchmarks.eu/eoniaswap-org/eoniaswap-rates.html

Cheers!

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EONIA swaps stopped trading some time in 2014. Since it stopped trading, it does not make sense to remember when it stopped trading :).

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  • $\begingroup$ This is the correct answer. $\endgroup$ – emcor Jul 14 '15 at 13:23
  • $\begingroup$ Any links or more information regarding why it is stopped trading etc. will be more helpful. $\endgroup$ – Gordon Jul 14 '15 at 13:36
  • $\begingroup$ I know they stopped publishing the index because of dwindling membership. Why it dwindled I don't know... $\endgroup$ – lampishthing Jul 15 '15 at 12:45

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