0
$\begingroup$

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?

$\endgroup$

1 Answer 1

1
$\begingroup$

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.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.