Box Spreads Embedded Interest Rates

[Martinghoul]

Quote from dragonman:
I see a quote of 3-months LIBOR/OIS spread (which is about 15.65 regarding USD), and I didn't see any quote for a longer period. Does that mean that a box spread which is 10 points appart that expires within 2 years should be traded at about 9.98, so that the 3-months LIBOR/OIS is being applied to such box even considering it expires within 2 year and not 3 months?

Well, 3M spot LIBOR/OIS is just the very first fixing, so it's not going to do the trick. See the attachment for the rates you actually want.

 

[dragonman]

Quote from Martinghoul:

Well, 3M spot LIBOR/OIS is just the very first fixing, so it's not going to do the trick. See the attachment for the rates you actually want.

Thanks, very helpful. So if the 2-year is at .3430 the price of a 10 points 2-year box spread should be 9.9657?