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I am trying to understand how to interpret a few forward curves that I grabbed from Bloomberg. In Bloomberg, you use ICSV command and choose the USD to Libor swap curve. I did this and grabbed the 1mo, 3mo, 6mo and 12mo libor forward swaps. If these are swaps how do I get the forwards of just the libor rates? I'm confused why I am using the swap curve for this. Why cant I get the forward rates like US treasuries and just use the forward curve analysis?

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  • $\begingroup$ can't you just get the 0C0C 0C0F, 0C0I, 0C01 rates, ie 3m3m, 3m6m, 3m9m and 3m1y rates directly? or alternatively just look at ED1, ED2, ED3, ED4, ie Eurodollar futures which settle on the LIBOR rate each quarter? $\endgroup$ – demully Aug 13 at 22:17
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Bloomberg helpdesk should be able to help with this. In any case, you can get the forward rates for both swaps and treasuries. I‘d recommend to look at ICVS > Curve Analysis > Forward Analysis for swaps (this is what their pricers use) and FWCV/FWCM for treasuries. You can get both a full forward curve and a matrix of different term/tenor combinations. Regarding the screenshots that you’ve pulled, are you sure you’re looking at forward starting swaps and not spot?

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Agree with oronimbus. If that's the case just set it for 3mfwd3m, 6mfwd3m, 9mfwd3m etc. Or for 3m libor you can use eurdollar futures but they only go out for a few years. Don't do the classic forward math on the swap curve like you might do for treasury zero rates to get the forward. It's now way more complicated because they're discounted on ois.

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