New answers tagged bootstrapping
1
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:
15M OIS -> 3M payment + 12M payment,
18M OIS -> 6M payment + 12M payment,
21M OIs -> 9M payment + 12M payment.
Hope that helps.
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