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does anyone know about the EUR Forward Implied 3 Month Rate published by Bloomberg on the Bloomberg Page EURI3M ?

First question: this is the rate from a forward curved, forward curve being calculated (implied) from some risk-free zero interest curve. Correct? Second question: assuming that first question is correct, what risk-free instruments Bloomberg uses to build the zero interest curve from which forward curve is implied? Possible answers would be LIBORs, Interest Rate Swaps...

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The quote is based on the FX quote to achieve FX parity for your given rates. To understand how it works you can go to {FXFA} which uses the same principle. If you go to help on FXFA you can check the model together with all the calculations.

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  • $\begingroup$ Thanks for the Comment. I dont unfortunatelly get what you are trying to say. Fxfa - what does it stand for? $\endgroup$
    – Олег Бойко
    May 26, 2017 at 13:41
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    $\begingroup$ {FXFA <go>}. It is a function you can run on the terminal. $\endgroup$
    – lady.den
    May 26, 2017 at 14:05
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They use interest rate parity under the assumption that they are backing out the implied rate versus either USD or EUR. For the USD and EUR, they are using the OIS swaps. So for the US, the ticker for the 3M OIS swap is USSOC curncy and for EUR, the 3M OIS swap ticker is EUSWEC curncy. There are many other OIS swap tenors on BBG. I believe BBG will report back the implied rate based on the convention for the currency being requested.

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    $\begingroup$ If you could refer to a formula... so expressed in words, lets say the interest rate parity is between usd and eur, and the us rate is OIS for 3 month. The other rate, therefore, would be an implied 3 M eur forward rate? $\endgroup$
    – Олег Бойко
    May 26, 2017 at 13:48

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