Daily Spread Curves and Ester
7 Pages Posted: 30 Dec 2019
Date Written: September 30, 2019
In this short note, we describe a simple yet accurate way to set up a rate curve defined by daily forward rates that are computed as a spread over the daily forward rates of a reference rate curve. One current use case of interest is to build an Ester curve from an Eonia curve using the (constant) Ester-Eonia spread defined by the ECB (-8.5 bp). We derive error bounds and test the method with real market data in ORE resp. QuantLib.
Keywords: Ester, Rate Curve, Spread
JEL Classification: C00
Suggested Citation: Suggested Citation