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This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants.

I'm trying to figure out how the ICVS function works in Bloomberg. Let say I need to extract the OIS Euro Yield Curve (ICVS 133) as I need to price a simple fixed rate bond. When I use the "Extract to Excel" function, do I still need to bootstrap the data that's given in the extraction ? Or can simply interpolate between the points and then use the resulting curve to discount my cash flows ?

Thank you, Hilbert

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    $\begingroup$ Hi @Hilbert; it's no good sign for your shop if you cannot ask senior colleagues. Nonetheless. If all else fails, press Bloomberg's HELP button. $\endgroup$ – Kermittfrog Nov 11 '20 at 13:14
  • $\begingroup$ Thank you for your response. The fact is that there are no senior quants in the shop. And those kind of things aren't learned in the school. So I'm trying to figure most things on ,y own, using litterature mostly and for the first time using quantexchange. $\endgroup$ – Hilbert Nov 11 '20 at 13:54
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ICVS 133 on BBG as a zero coupon curve for EUR OIS (so you wouldn't need to bootstrap). If you export to Excel, the discount factors are already in the exported sheet.

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  • $\begingroup$ Thank you very much for your quick response $\endgroup$ – Hilbert Nov 11 '20 at 14:34
  • $\begingroup$ If you need to do some self-study, this book seems to be well regarded and was published fairly recently. amazon.com/dp/099545552X/…. I like Howard Corb's book (amazon.com/gp/product/B0097DJ7FA/…), which might also be useful to you. HTH. $\endgroup$ – user42108 Nov 11 '20 at 15:04

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