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I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly but that didn't help as well.

For example, for the 1-week GBP OIS: Discount factor = 1 / (1 + 3.42880% * 7 /365) = 0.999343 Zero rate = -365/7 * ln(0.999343) = 3.42767% (BBG zero rate 3.42816%)

Could anyone please help point any mistake here? Thank you in advance.

enter image description here

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If you take screenshots, it helps if you do not cut off the important parts - or at least mention where the screenshot is from. Usually, ICVS is where one would look for details about interest rates.

However, I am almost certain your screenshot is actually from the 5) Curves Tab of SWPM.

Your calculation is correct for the continuously compounded Zero rate as shown on ICVS. The dicount factor is computed from the zero rate.

enter image description here

However, if you hover over the value in SWPM, you will see that it uses the specific day-count convention and compound frequency of the swap itself.

enter image description here

The first set of values is relatively simple. enter image description here

Overall, replicating curve stripping (not just Bloomberg) exactly is quite difficult. It is not only about knowing the correct method but also about taking into account all calendars, interpolation etc.

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  • $\begingroup$ I understand thank you so much for your answer! Indeed this is from the SWPM - I had assumed the zero rates for a given OIS curve would always be the same - but clearly it depends on the application of it. $\endgroup$ Commented Aug 12, 2023 at 15:50

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