Building curves from basis quotes



We’re trying to price 1m v 3m usd libor swaps, but the 1m curve isn’t quoted directly in the market, instead it’s quoted as the 1m3m basis (eg USBA1 Curncy on Bloomberg). Is it possible to construct the necessary curves in Strata using these basis quotes?



Hi Adam,

This is supported in Strata.

There is an example in the class CalibrationZeroRateUsd3OisIrsBsTest which does something equivalent for 3m v 6m basis swaps. Here, the 6m curve (i.e. the one defined as the forward curve for USD_LIBOR_6M in the CurveGroupDefinition) uses 3m v 6m basis swap nodes at 1 to 10 year tenors. These nodes are built from the convention USD_LIBOR_3M_LIBOR_6M.

You would want to use the built-in convention USD_LIBOR_1M_LIBOR_3M instead for the nodes on your 1m curve (i.e. the one defined as being the forward curve for USD_LIBOR_1M), and just like in the example you will also need a 3m curve in the same curve group for the calibration and pricing to work.

Hope this helps. Let us know if you need any more details.


That’s perfect, thanks!