Daily Spread Curves and Ester

7 Pages Posted: 30 Dec 2019

Date Written: September 30, 2019

Abstract

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

Caspers, Peter, Daily Spread Curves and Ester (September 30, 2019). Available at SSRN: https://ssrn.com/abstract=3500090 or http://dx.doi.org/10.2139/ssrn.3500090

Peter Caspers (Contact Author)

Quaternion Risk Management ( email )

54 Fitzwilliam Square North
Dublin, D02X308
Ireland

HOME PAGE: http://www.quaternion.com

Register to save articles to
your library

Register

Paper statistics

Downloads
134
Abstract Views
438
rank
221,044
PlumX Metrics