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Using Bloomberg’s EUR OIS Zero-Coupon Curve for Bond Discounting

Article Quant Q&A · Author: Hilbert
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Summary

The document asks whether an exported Bloomberg EUR OIS curve needs to be bootstrapped before it can be used to price a fixed-rate bond, or whether its points can simply be interpolated for discounting cash flows. The answer identifies the referenced curve as a zero-coupon curve, so it says a separate bootstrap is unnecessary. It also states that the Excel export already includes discount factors.

This gives a practical distinction between exporting market inputs that still need curve construction and exporting a curve whose discounting information is already provided. The response is brief and offers no interpolation method, day-count convention, compounding details, or guidance on validating the curve’s settings. Users still need to ensure the exported curve and discount factors match the bond’s valuation conventions and dates.

Key ideas

  • The referenced EUR OIS curve is described as a zero-coupon curve.
  • The answer says no separate bootstrapping is needed for that exported curve.
  • The Excel export is reported to include discount factors for cash-flow discounting.
  • Interpolation and valuation conventions are not specified in the note.

Tags

Fixed incomeDerivatives pricing
Full text
# ICVS 133 Bloomberg Curve


# ICVS 133 Bloomberg Curve












This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants.

I'm trying to figure out how the ICVS function works in Bloomberg. Let say I need to extract the OIS Euro Yield Curve (ICVS 133) as I need to price a simple fixed rate bond. When I use the "Extract to Excel" function, do I still need to bootstrap the data that's given in the extraction ? Or can simply interpolate between the points and then use the resulting curve to discount my cash flows ?

Thank you, Hilbert

## Answer by user42108 (score 2, accepted)

https://quant.stackexchange.com/a/59305

ICVS 133 on BBG as a zero coupon curve for EUR OIS (so you wouldn't need to bootstrap). If you export to Excel, the discount factors are already in the exported sheet.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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