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Old 03-07-2018, 06:00 PM
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Default Bootstrapping to get forward rates from LIBOR

It's been a really long time since I have dealt with the bootstrapping technique for LIBOR forward rates. A Google search didn't get me anything I could use off the rack, so I thought I would try here.

I have a set of LIBOR spot rates in the table below. I think the first one is a 2-day rate, going up to 12 months. These are rates as of 2/28/2018. I was hoping someone had a spreadsheet to share, or could point me somewhere. I would like a formula to calculate the forward rates from these spot rates.

Anyone?

LIBOR Rates (A/360)
O/N 1.390%
LIB01m 1.670%
LIB02m 1.814%
LIB03m 2.017%
LIB06m 2.224%
LIB12m 2.502%
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