Deriving a Projection Curve from an OIS Curve

Summary

The document clarifies what it can mean to derive a term projection curve, such as a three-month curve, given an overnight indexed swap curve. The questioner understands that bootstrapping OIS swap rates produces implied forward rates and asks whether this is the relevant process.

The response says that stripping the OIS instruments during bootstrapping can produce the needed rates, while noting that most OIS swaps are quoted as bullet par swaps. In that case, the practitioner may need to derive the zero curve. If the instruments were quoted as zero swaps, that extra step would not be needed. The exchange is brief and gives no detailed bootstrapping equations, conventions, or worked example, so implementation depends on instrument definitions and curve-construction practices.

Key ideas

• Bootstrapping OIS swap instruments can be used to derive rates for a projection curve.
• Par swap quotes may require deriving a zero curve from the bootstrapped instruments.
• The response says zero swap quotes would avoid that additional step.
• The exchange does not provide detailed equations or market conventions.

Tags

# Stripping projection curve


# Stripping projection curve












What is meant by the statement below:

"Stripping projection curve (e.g. 3M curve) given the OIS curve"

I understand that while bootstrapping an OIS curve using OIS swap rates and OIS fixed rates, we can derive implied forward rate of all periods.

## Answer by MattR (score 1)

https://quant.stackexchange.com/a/15414

I think that's it, you just strip your OIS rates while boostrapping. Most OIS Swap Rates are Bullet contract par swap rates, so you might want to obtaint the Zero Curve.

If you were quoting Zero Swaps, you wouldn't need to.

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