Building a Forward LIBOR Curve with OIS Discounting

Summary

The document asks how to build a forward six-month LIBOR curve in a multi-curve framework from three market inputs: par OIS rates, a fixed six-month LIBOR rate, and par swap rates on swaps with semiannual floating payments and annual fixed payments. It identifies the instruments needed to separate discounting from forwarding: OIS quotes support the discount curve, while LIBOR-linked swap quotes help infer the forward curve.

The text poses the setup question but does not provide a bootstrapping procedure, calibration equations, worked example, or market data. It therefore offers a useful statement of the curve-construction problem rather than a validated solution. Details such as instrument schedules, day-count conventions, curve interpolation, and calibration ordering remain unspecified and would affect an implementation.

Key ideas

• OIS par rates are proposed as inputs for the discount curve.
• Six-month LIBOR-linked swap par rates provide information for the forwarding curve.
• The target is a multi-curve setup that produces forward six-month LIBOR rates.
• The document does not supply calibration steps or conventions needed to implement the construction.

Tags

# forward LIBOR curve bootstrapping


# forward LIBOR curve bootstrapping












how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info:

- par rates of a set of OIS

- fixed 6M LIBOR rate

- par rates of a set of Swaps which the underlying is 6M-LIBOR and floating leg pays semi-annually whiled fixed leg pays annually

I am asking your guidance on how to build a forward LIBOR curve under multi-curve approach.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.