Are there any commonly traded instruments that would allow one to bootstrap a one week LIBOR curve?

If not, is there some alternate way to value forward starting swaps with a short first period that use interpolation between one week LIBOR and 1M LIBOR for the coupon of the first floating payment?

  • 1
    $\begingroup$ Do you mean 1w1w LIBOR? Since 1w LIBOR is a standard quote. $\endgroup$ – Will Gu Jan 5 '17 at 5:22

There are no traded instruments that would allow a 1w libor curve to be bootstrapped. If you need to calculate a forward rate for 1week libor in the current environment, I would suggest that it can be bounded as follows : overnight fed funds < 1 week libor < 1 month libor. The forward rates on the bounds can be calculated from bootstrapped curves.

| improve this answer | |

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.