here is a screenshot of the FWCM screen on Bloomberg:
I'm trying to check that I understand this by calculating the 1Y1Y which according to this matrix is 3.6877%.
So the inputs are 1Yr rate at 2.7737% and 2Yr rate is 3.2756%.
((2*.032756)-(1*.027737))/(2-1) = 3.78%
Bloomberg says they calculate it using discount factors and those rates are here:
1 year discount rate is .972146
2 year discount rate is .935587
I can calculated the rate by this https://i.stack.imgur.com/CxyT3.jpg
which I take to mean below
.935587/.972146 = 1/(1+r)
r = 3.91%
Both 3.91% and 3.78% are different from bloombergs 3.6877%. Am I doing something wrong? I asked bloomberg and they only gave me the formula I was using.