Hello,
using the SWDF function of Bloomberg I get curves which (for GBP Libor vs 3M curves) have by default 25 tenors, for example if valuation date is 31 dec 2013 we would have the following maturities up to 40 years:
31/03/2014
16/04/2014
21/05/2014
18/06/2014
17/09/2014
…
31/12/2053
Now if I want to price a swap with quarterly payment in GBP (for which the GBP Libor vs 3M is the default curve), Bloomberg will generate discount factors for all of the coupons (please assume discount curve = fixing curve, so discount factrors determin reset rates and everything).
We already have the DFs for the 25 tenors above, but I was wondering if the other ones are mere a function of those 25 or not.
I ask this because if I need to, I can ask Bloomberg to add more points to the 25 in the curve, so I was wondering whether there is a minimal set of points used to deduce all the necessary DFs.
Thanks
using the SWDF function of Bloomberg I get curves which (for GBP Libor vs 3M curves) have by default 25 tenors, for example if valuation date is 31 dec 2013 we would have the following maturities up to 40 years:
31/03/2014
16/04/2014
21/05/2014
18/06/2014
17/09/2014
…
31/12/2053
Now if I want to price a swap with quarterly payment in GBP (for which the GBP Libor vs 3M is the default curve), Bloomberg will generate discount factors for all of the coupons (please assume discount curve = fixing curve, so discount factrors determin reset rates and everything).
We already have the DFs for the 25 tenors above, but I was wondering if the other ones are mere a function of those 25 or not.
I ask this because if I need to, I can ask Bloomberg to add more points to the 25 in the curve, so I was wondering whether there is a minimal set of points used to deduce all the necessary DFs.
Thanks
