Swap pricing model HELP!!!

Hey,
I've just started working at BNP Paribas on a summer internship and need some help with something.....
I've been asked to build a swap pricing model. I've been given a set of market rates (which I'll attach below) that consist of cash, futures and swaps rates. I need to get a curve which I can then model my swap pricer on (ie find discount rates etc.).
Trouble is, the futures are not like the other rates, and to be honest I have no idea what I'm doing. I beleive I need to 'bootstrap' this curve, but at the minute cant do that as I dont really have a complete curve, instead I've got lots of 99.xxx etc.
Could someone please give me a clue as to what I need to do as I've been stuck on this for a while now and really dont understand it.
I'm only doing a 10yr GBP 3m Libor swap, and here are the market rates: thanks!

1D 0.8963
1W 0.8964
1M 0.9019
2M 0.9070
3M 0.9050
U09 99.1403
Z09 98.9015
H10 98.5434
M10 98.0161
U10 97.4695
Z10 96.9337
H11 96.4986
M11 96.0945
U11 95.7485
Z11 95.4016
H12 95.3196
M12 95.2668
4Y 3.3304
5Y 3.6124
6Y 3.8099
7Y 3.9585
8Y 4.0683
9Y 4.1523
10Y 4.2236

Hehehe, amico, fun and games galore are in store for you!

For futures, you need to think about what the prices represent. Specifically, a futures price of X implies that the par rate on the futures contract-dated FRA is 100 - X. However, the simple futures-implied FRA rates aren't going to quite do it for you and there's additional steps required to actually obtain fwd rates that you can plug into your bootstrap method.

This is specialized sorta stuff, so send me a PM if you have questions.

That's pretty mean for an internship.....

What else do you expect from ze French?

Martinghoul said:

For futures, you need to think about what the prices represent. Specifically, a futures price of X implies that the par rate on the futures contract-dated FRA is 100 - X. However, the simple futures-implied FRA rates aren't going to quite do it for you and there's additional steps required to actually obtain fwd rates that you can plug into your bootstrap method.

Click to expand...

looks to me like they've already been taken.

I always get my kids to look at this

Have a chat with a spreadsheet developer (if you can find one) and ask him about using your in-house analytics

thanks blade, that looks really helpful, just scanned through it now so may look at it later this evening. Seems like there may be a lot i'm missing from my model that this mentions I need to do (i.e. dont just continuously compoun the rates, they've got to be bootstrapped - and this can only be done once the cash and futures rates have been converted into forward rates - none of that is done in my model)
I'll have a look but in the meanwhile any more help is greatly appreciated as I really want to get this finished!
Cheers