I’m trying to bootstrap a 1m, 3m and 6m euribor curve.

The data I’m using is 3m Euribor swaps, 1m/3m basis spreads and 3m/6m basis spreads. I’ve successfully used quantlib to bootstrap a 3m curve but I’m struggling to work out how to build the 1m and 6m curves with the data I have.

Is it as simple as adding/subtracting the basis spreads to the 3m swap curve and then bootstrapping?

  • $\begingroup$ Yes, you can employ this simplificationand you should be fine. I have seen firms do it that way. Other method can be flat forwarding the 1m unknown rate (you don't have this curve of course, but you assume some flat forward rate) and 3m rates and then discount the cashflows. You should find the flat rate that give NPV = 0 of this deal. Then do it for other basis spreads. From the forward rates you can derive discounting curve. Probably there are other methods employing some multicurve bootstrapping but I am not familiar with those. $\endgroup$
    – emot
    Jun 24 at 19:19

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