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Finding Bloomberg’s OIS Curve Inputs and Reset Interpolation

Article Quant Q&A · Author: pqsn
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Summary

The document asks how Bloomberg derives daily overnight index swap reset rates for a fixed-for-floating swap. Its answer points users to the curve detail screens in Bloomberg’s swap pricing workflow, where they can inspect the instruments used to build the curve and review the interpolation method. It also notes that curve reset points are created from this setup and that the approach applies to swaps beyond OIS.

The post offers a way to inspect Bloomberg’s implementation, rather than explaining the underlying mathematics or giving a step-by-step derivation of each daily forward rate. It provides no worked example, market data, or comparison of interpolation choices, so readers must consult the platform’s curve settings for specifics. The answer is therefore most useful as a guide to locating the curve methodology behind displayed reset rates, not as a standalone account of OIS curve construction.

Key ideas

  • Bloomberg’s curve details show the instruments used to build a swap curve.
  • The interpolation settings help explain how reset points are generated.
  • The suggested inspection process applies to swaps beyond OIS.
  • The post points to platform documentation rather than deriving daily forward rates mathematically.

Tags

Fixed incomeDerivatives pricing
Full text
# Bootstrap daily OIS forward rate


# Bootstrap daily OIS forward rate












Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap?

For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able to produce the daily OIS forward rate (reset rate). I am wondering how are these daily forward OIS rates derived?

## Answer by JoshK (score 0, accepted)

https://quant.stackexchange.com/a/41253

On Bloomberg you can see the underlying instruments used to build the curve with option 5, curves. You can see the methodology under interpolation. If you click on the "98 - Curve Detail" button, you will see how BB created the reset points that it used to generate its resets. This is true for all types of swaps, not just OIS....

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