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How Bloomberg Builds the USD Swap Curve with Eurodollar Futures

Article Quant Q&A · Author: jonas.lima
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Summary

The answer addresses why a Bloomberg USD interest-rate swap curve may include a contract classified as a financial commodity future. It explains that the curve setup described is longstanding and points readers to Bloomberg’s curve configuration and documentation for details on how its instruments are selected.

The answer clarifies that the contract is a Eurodollar future, despite the commodity label, and suggests the apparent change may reflect a restored default curve configuration. It does not detail the curve-building methodology or identify the specific market factors behind instrument selection; readers are directed to Bloomberg support and its interest-rate curve white papers. The explanation is therefore specific to Bloomberg’s setup and does not establish that other USD swap curves use the same instruments.

Key ideas

  • Bloomberg’s cited USD swap curve configuration has used Eurodollar futures for years.
  • A commodity classification label does not mean the instrument is an actual commodity contract.
  • Restoring a default curve configuration may explain why the displayed instruments differ.
  • Bloomberg’s curve documentation is the suggested source for construction details.

Tags

Fixed incomeFuturesUS markets
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# Answer by AKdemy (score 1)


# Why Bloomberg USD swap curve (YCSW0023 Index) changes last month?? and why put a Financial commodity future into this curve?












The Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future.

Why changes? What the factor make this changes? Why bloomberg put into a financial commodity future.

*This is not the complete curve...

## Answer by AKdemy (score 1)

https://quant.stackexchange.com/a/63575

Really a question for the help desk `F1 F1`.

However, that is not a recent change. `ICVS 23` uses these since years. If you did not have that, I suspect you restored `SWDF DFLT` in which case you see what is recommended.

Ignore the classification - it's not a commodity - it's ED future. `HELP ICVS` has white papers. The first one, `Building the BBG IR Curve` discusses this in quite some detail.

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