Has anyone tried building an OIS curve with Quantlib from Fed Funds futures?
- If so, could you share a code snippet for how you do it. (Assuming you already have the prices for the futures)
- How do you handle the stepping nature of OIS? Take the current month FFU9 future. It prices at about 98 even right now, which implied 2.0%. But really the mkt is implying OIS of about 2.13 from now until the meeting and then about 1.90 after that.
The OIS curve has a step to it and shouldn't be smooth. How do we handle that in Quantlib? And is there a good data source for the steps that people use besides just pulling in from Bloomberg - I'd rather get closer to the raw source data.
