Has anyone tried building an OIS curve with Quantlib from Fed Funds futures?

  1. If so, could you share a code snippet for how you do it. (Assuming you already have the prices for the futures)
  2. 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.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.