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I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve.

  1. I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear words).
  2. What are the 2 curves I will be using for coming up with 3Month Libor forward curve
  3. Can this process be done in excel?
  4. Can someone elaborate on it using an example to construct 3month LIBOR curve?
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A multi-curve means that you observe the discounting instruments (such as fed funds) and projection (libor, swap curve) and solve for all of them simultaneously; as opposed to bootstrapping separately a projection curve and a discounting curve.

A simple paper with examples is Numerix Model Calibration: The Multiple Curve Approach.

A more detailed intro is Ametrano, Bianchetti. Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping, but Were Afraid to Ask (2013).

A whole book on the subject by the OpenGamma's Head of Quantitative Research Marc Henrard. Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation. Palgrave Macmillan (2014).

It would be very hard to do it cleanly in Excel. Usually Excel users call an addin written in C++ or some such.

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    $\begingroup$ +10 Nice references. $\endgroup$ Commented Jun 4, 2020 at 18:31
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    $\begingroup$ Indeed, I found myself implementing that stuff with Excel/VBA once. It’s not toooo complicated, but I do not suggest doing it... $\endgroup$ Commented Jun 4, 2020 at 18:33
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    $\begingroup$ Got the point. One more question. How exactly to do simultaneous bootstrapping? How can we determine the OIS discounting rates while solving simultaneously? Because for getting the OIS rate we will need the correct 3 month forward rate. $\endgroup$ Commented Jun 5, 2020 at 15:50
  • $\begingroup$ @Kermittfrog can you please show me what you did ? thank you $\endgroup$ Commented Aug 15, 2020 at 15:40

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