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Given the following datas :

enter image description here

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 :

enter image description here

Then we can deduct the ZC Rate :

enter image description here

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

However doing :

enter image description here

Am I missing something or is Bloomberg SWPM Curve wrong ?

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  • $\begingroup$ If you ask the help desk they will probably be able to give you the formula they are using. $\endgroup$
    – assylias
    Commented Aug 10, 2022 at 9:12
  • $\begingroup$ @assylias Sadly, they don't help much.. Quant exchange is my only hope. $\endgroup$
    – TourEiffel
    Commented Aug 10, 2022 at 9:19
  • $\begingroup$ Bloomberg help page for the ICVS function includes a paper named "Building the Bloomberg Interest Rate Curve – Definitions and Methodology." Did you check it? $\endgroup$
    – AKdemy
    Commented Aug 10, 2022 at 9:26
  • $\begingroup$ @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. $\endgroup$
    – TourEiffel
    Commented Aug 10, 2022 at 9:34

1 Answer 1

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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.

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  • $\begingroup$ 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% $\endgroup$
    – TourEiffel
    Commented Aug 10, 2022 at 12:40
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    $\begingroup$ you need to convert the rate properly: =-LN(1/(1+2.91157/100*94/360))/(94/365)*100 $\endgroup$
    – oronimbus
    Commented Aug 10, 2022 at 12:41
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    $\begingroup$ 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 $\endgroup$
    – TourEiffel
    Commented Aug 10, 2022 at 12:47
  • $\begingroup$ 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. $\endgroup$
    – TourEiffel
    Commented Aug 18, 2022 at 10:37
  • $\begingroup$ sorry mate don't have time at the minute $\endgroup$
    – oronimbus
    Commented Aug 18, 2022 at 10:44

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