I am looking for ways to build an OIS discount curve, but from what i see only vendors are providing it nowadays. I think i had been told somewhere that i can try to do it with futures but I am hesitant due to the fact that there needs to be convexity adjustment and that on top of that convexity adjustment i need to set an appropriate vol level (instead of assuming constant vol).
Is there anywhere that i can find this data for my yield curves ? i am looking for OIS (us markets), EONIA (European) and SONIA (UK)
i am looking to get some practitioners input on convention/real world practices of today (i guess meaning the post-crisis world)
All those banks are doing some complex rates convexity stuff, but it makes almost no difference - it was like 0.00001% change in rates when we did it here. So, unless you are doing some Renaissance Capital level sh*t, you don’t need to do it.
Anyway, the best source for OIS curve is Fed Funds futures for the US, and I guess whatever is the equivalent for hacksaw countries.
You can find OIS curve, swap curve, yield curve data at FinPricing. The interest rate data are divided into two categories: market quoted swap curve and bootstrapped yield curve. For example, OIS swap curve contains OIS swap basis quotes for different tenors, while. OIS yield curve is bootstrapped from OIS swap curve, that can be used for OIS discounting directly.