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Background

I'm a corporate financial analyst with a small derivatives portfolio (amortizing interest rate swaps and FX forwards) looking to value these derivatives "properly" (which, in my case, means "without gross error" as opposed to say the multiple decimals of precision required for real quants).

Question

Using only publicly available free data sources (e.g. the H.15 from the Fed), should I be able to reconstruct both a risk-free and a LIBOR yield curve (risk-free for discounting, LIBOR for swap cash flow forecasting)?

What I've figured out so far

1) One approach to the risk-free would be to bootstrap the treasury constant maturities series in the H.15.

2) In theory the LIBOR should come from bootstrapping the interest-rate swap series in the H.15.

But it doesn't feel like either of these are consistent with approaches discussed on this site advocating using the OIS (which I believe is just the effective federal funds on the H.15) to derive a risk-free curve.

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bootstrap fedfunds (ois ) swaps to get your discount curve (asuming your portfolio is usd, and is usd collateralised). strangely i dont see the data on the fed site. i see data on LCH's site: http://www.lchclearnet.com/asset-classes/otc-interest-rate-derivatives/volumes/settlement-prices-swapclear-global#usd

to get libor projection curve, you need to bootstrap libor swaps, keeping in mind that they are discounted on the curve you got just now from the ois.

for the fx forwards, you need to get fx forward points market data...

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Instead of the constant maturity series (which IMO would give only a few points), you could use the prices of ZCB to get the USD curve. They are available here http://www.wsj.com/mdc/public/page/2_3020-tstrips.html It might require some slight smoothing to get a clean curve. This is the best way I know to get a US Govt curve for free.

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