Obtaining LIBOR Forward Rates from Swap and Treasury Curves

Summary

The document explains how to obtain forward rates when Bloomberg displays LIBOR swap-curve information. It distinguishes forward-starting swaps from spot swaps and points to Bloomberg’s forward-analysis functions for swap rates, while separate functions are used for Treasury forwards. It also describes selecting combinations such as a forward start date and a later swap tenor to inspect rates across different terms.

The answers caution against deriving LIBOR forwards from swap-curve rates with the simple arithmetic commonly used for Treasury zero rates. In the framework described, swaps are discounted using overnight indexed swap discounting, which makes the calculation more involved. Eurodollar futures are offered as another way to access three-month LIBOR exposure, though their listed maturities extend only a limited number of years. The exchange is brief and does not provide a worked calculation or explain the full curve-construction conventions; it recommends confirming the instrument and settings with Bloomberg support.

Key ideas

• Bloomberg provides forward analysis for swaps and separate forward tools for Treasury securities.
• Check whether displayed swaps are forward-starting or spot instruments before interpreting their rates.
• Swap-based LIBOR forwards require attention to overnight indexed swap discounting.
• Eurodollar futures can provide three-month LIBOR rates over a limited horizon.

Tags

# Libor Forwards from Swaps


# Libor Forwards from Swaps












I am trying to understand how to interpret a few forward curves that I grabbed from Bloomberg. In Bloomberg, you use ICSV command and choose the USD to Libor swap curve. I did this and grabbed the 1mo, 3mo, 6mo and 12mo libor forward swaps. If these are swaps how do I get the forwards of just the libor rates? I'm confused why I am using the swap curve for this. Why cant I get the forward rates like US treasuries and just use the forward curve analysis?

## Answer by oronimbus (score 2)

https://quant.stackexchange.com/a/47097

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. Regarding the screenshots that you’ve pulled, are you sure you’re looking at forward starting swaps and not spot?

## Answer by Edward Watson (score 1)

https://quant.stackexchange.com/a/47191

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.

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