I am looking for some example workout on how to construct Zero curve based on few OIS rates.

Let say I am given 3 OIS rates with maturities 6m, 1y, and 2y as $r_1, r_2, r_3$. I understand that those rates for example $r_1$ basically tells what is the Geometric average of Overnight rates e.g. ENOIA for 6m, and so on.

However I failed to understand how exactly I can use above information correctly to build entire term structure of Zero rate with minimum nodes at 6m, 1y, and 2y.

Any workout example will be very helpful.


  • $\begingroup$ I was just about to write an answer for this, but another question popped up, and the answer there by @JanStuller is already great, so I'd recommend to check the following thread + the accepted answer: quant.stackexchange.com/questions/61838 $\endgroup$
    – KevinT
    Mar 19 '21 at 12:35

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.