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AM trying to match CNY Swap Curve with Bloomberg. Yields unto 9 months can be converted to dfs using 1/(1+rt), where t = Actual Number of Days / 360.

One year and boot strapping method was used with Annual frequencies to match with Bloomberg results. The generated ZC Yields can be matched with bloomberg. But converting the ZC Yields into DF is not matching. The closest I have come is with the annualised discounting. (1/1+R/1)^(1*T) where T is Actual N / 360

Can any one please enlighten me how this curve needs to be boot strapped and discount factors generated so that I can match it with bloomberg.

Also, since the floating rate is 3 month SHIBOR, while generating ZCC curve, shall I bootstrap using interpolated (linear) coupons for quarters or bootstrap with the given yearly rates.

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There is no CNY LIBOR to speak of. The CNY swap curve is OIS (don't know the index off the top of my head) and the compounding is weekly.

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