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I want to construct a zero-curve from EUR OIS rates (IR swaps with ESTR as the floating rate).

For bootstrapping, some of the contracts I use have maturities of 15, 18 and 21 months (RIC: EUREST15M= etc.). How many payments do these contracts have, and when do they occur?

I found this similar thread, but can't find anything for the EUR market: Is an 18 month OIS a bullet?

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1 Answer 1

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For ESTR OIS market convention is that there is a front stub period i.e. the first period is shorther, the next one is always 12 months. Therefore:

  1. 15M OIS -> 3M payment + 12M payment,
  2. 18M OIS -> 6M payment + 12M payment,
  3. 21M OIs -> 9M payment + 12M payment.

Hope that helps.

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