# How does Bloomberg bootstrap CASH Instruments?

Given the following datas :

If we do the bootstrap methodology for CASH Instrument we gotta :

Calculate the DF associated to the Market Quoted Rate (2.91157). For the 3M Fixing we have : T = 0.26115.

So the DF for this Market Quoted Rate is :

Then we can deduct the ZC Rate :

Which obviously does not match the Zero Rate shown in SWPM : 2.94084%

However doing :

Am I missing something or is Bloomberg SWPM Curve wrong ?

• If you ask the help desk they will probably be able to give you the formula they are using. Commented Aug 10, 2022 at 9:12
• @assylias Sadly, they don't help much.. Quant exchange is my only hope. Commented Aug 10, 2022 at 9:19
• Bloomberg help page for the ICVS function includes a paper named "Building the Bloomberg Interest Rate Curve – Definitions and Methodology." Did you check it? Commented Aug 10, 2022 at 9:26
• @AKdemy I did, and following the white paper we can dress the equation 1(1+Continuous Rate T) = exp(-ZCT) So to get ZC rate we solve the equation. But this does not it on what is shown on the screen. 2.901% would be the right rate if I follow the white paper. Commented Aug 10, 2022 at 9:34

The displayed curve uses ACT/365 daycount with continuous compounding. The ZC is calculated by converting from simple discounting (ACT/360) to continuous compounding (ACT/365).

Hence, you can replicate the discount factor using the ZC rate displayed above:

=EXP(-2.94084%*94/365)

which gives 0.992455. As far as I remember this value is for display only and in the backend the curve will be stripped with the daycount that's applicable to your deal.

• But the question is how do they have -2.94084% as ZC Rate. What's the calculation to retrieve this ? 94/365 or 0.26112 is close to be the same and still give me a Zero rate of 2.901% Commented Aug 10, 2022 at 12:40
• you need to convert the rate properly: =-LN(1/(1+2.91157/100*94/360))/(94/365)*100 Commented Aug 10, 2022 at 12:41
• Man so my mistake was that i alway used the same T but in fact one is on a 360 base and the other one is 365 Base Commented Aug 10, 2022 at 12:47
• I am facing the same kind of issue for the Futures Part of the curve. You can find the new question there. Hope you can help me with it. Commented Aug 18, 2022 at 10:37
• sorry mate don't have time at the minute Commented Aug 18, 2022 at 10:44