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Agree with oronimbus. If that's the case just set it for 3mfwd3m, 6mfwd3m, 9mfwd3m etc. Or for 3m libor you can use eurdollar futures but they only go out for a few years. Don't do the classic forward math on the swap curve like you might do for treasury zero rates to get the forward. It's now way more complicated because they're discounted on ois.


Bloomberg helpdesk should be able to help with this. In any case, you can get the forward rates for both swaps and treasuries. I‘d recommend to look at ICVS > Curve Analysis > Forward Analysis for swaps (this is what their pricers use) and FWCV/FWCM for treasuries. You can get both a full forward curve and a matrix of different term/tenor combinations. ...


The idea of assuming that the transaction cost is one half of the bid-offer spread comes from several assumptions: the positions are marked-to-market at mid; you can actually execute at bid or ask (that your trade isn't large enough to impact the market); there are no other fees or costs. For example: Bid-Ask Spreads: Measuring Trade Execution Costs in ...


it requires a model to do it correctly but often i might just do a simple forward math calculation especially if it's not very far forward. So for 1yr fwd 2yr i'd do ((1+yield(3yr))^3 /(1+yield(1yr)^1)^(1/2)-1. It's better to do this with zero coupon bonds but often those yields aren't that different these days anyway.

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