Why Bloomberg USD swap curve (YCSW0023 Index) changes last month?? and why put a Financial commodity future into this curve?
Quantitative Finance Asked by jonas.lima on October 27, 2021
The Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future.
Why changes? What the factor make this changes? Why bloomberg put into a financial commodity future.
*This is not the complete curve…
One Answer
Really a question for the help desk F1 F1.
However, that is not a recent change. ICVS 23 uses these since years. If you did not have that, I suspect you restored SWDF DFLT in which case you see what is recommended.
Ignore the classification - it's not a commodity - it's ED future. HELP ICVS has white papers. The first one, Building the BBG IR Curve discusses this in quite some detail.
Answered by AKdemy on October 27, 2021
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