0
$\begingroup$

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap?

For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able to produce the daily OIS forward rate (reset rate). I am wondering how are these daily forward OIS rates derived?

$\endgroup$
  • 1
    $\begingroup$ You clicked on option 5 for curves and that wasn't what you were looking for? That will show you how they are building their curve $\endgroup$ – JoshK Aug 12 '18 at 4:45
  • $\begingroup$ thanks for the reply JoshK. I am actually referring to <option 7) Resets>, which are the daily OIS forward rates. Wondering how are these daily forward rates are bootstrapped. More specifically - for example the shortest two tenors of underlying curve are 1d and 1wk, then how to calculate the daily forward OIS in between these two days? $\endgroup$ – LDQ007 Aug 13 '18 at 1:56
  • $\begingroup$ Understood. What I'm trying to say is that the way BB gets to those resets on tab 7 is by fitting a curve. On tab 5 you can see what BB is thinking. There's a drop-down there that lets you select the type of interpolation. Try playing with the interpolation drop down on tab 5 and then switching to tab 7. You will see the rates change! On tab 5 you can click on button 98 for Curve Detail and really see how the sausage is made. $\endgroup$ – JoshK Aug 13 '18 at 2:40
  • $\begingroup$ Hi JoshK, thanks for following up. I managed to figure out the methodology by following your thread: for any day t and t+1: interpolate the interest rate from underlying curve, then get their zero rate respectively, then divide the two zero rate and annualize the result will give you the forward rate from day t to t+1. really appreciate your help mate! $\endgroup$ – LDQ007 Aug 13 '18 at 6:57
  • $\begingroup$ Cool, good to hear. I'll put it in as an answer so people can see if they look this up. Good luck and let me know if I can help with anything else. $\endgroup$ – JoshK Aug 13 '18 at 20:08
0
$\begingroup$

On Bloomberg you can see the underlying instruments used to build the curve with option 5, curves. You can see the methodology under interpolation. If you click on the "98 - Curve Detail" button, you will see how BB created the reset points that it used to generate its resets. This is true for all types of swaps, not just OIS....

$\endgroup$

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.