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I wish to understand how dual curve bootstrapping is done?

Lets say we want to bootstrap FF OIS curve and Libor 3 month fwd curve simultaneously. Lets also assume we don't LIBOR-OIS basis swap rates to calculate ois discount curve (post 2 years in time: Till 2 years one can use the FF Futures). Specifically I want to know can we bootstrap the OIS discounting curve in such a case. Someone please explain.

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It's done in 2 steps:

1) First you bootstrap OIS curve independently from Libor curve, get OIS discount factors

2) Then use these to bootstrap Libor curve (using OIS discount factors instead of Libor ones,Libor used for projections only)

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    $\begingroup$ I believe what you describe is independent dual curve bootstrapping. The comments by Attack68 here outline simultaneous d.c.b. quant.stackexchange.com/questions/41011/… $\endgroup$
    – nbbo2
    Jun 6, 2020 at 21:44
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    $\begingroup$ For USD , given just OIS instruments and Libor, both methods will give the same result. as the "independent" dual curve bootstrapping is the solution to root search problem of the Attack68 link (which is used when several curves , including cross currencies are needed, and for Currencies without liquid OIS instruments) $\endgroup$
    – alexprice
    Jun 6, 2020 at 21:56
  • $\begingroup$ For many currencies it is not possible to derive an OIS curve independently, especially for longer maturities. EUR and GBP for example do not have liquid OIS markets say 10y+ meaning you need to input IBOR plus IBOR/OIS basis trades as the pricing inputs since they are the most transparent. I have never traded the US market as a market maker so do not know the extend of liquidity of longer dated OIS trades there. $\endgroup$
    – Attack68 ♦
    Jun 8, 2020 at 17:32

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