Download This PaperDaily 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: 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
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.