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A Practical Guide to Swap Curve Construction

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  • Uri Ron
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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-17.pdf
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    Paper provided by Bank of Canada in its series Working Papers with number 00-17.

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    Length: 8 pages Abstract: The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure. This paper outlines the advantages of using the swap curve, and provides a detailed methodoloy for deriving the swap term structure for marking to market fixed-income products. The paper concludes with a discussion of the proposed swap term structure derivation technique.
    Date of creation: 2000
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    Handle: RePEc:bca:bocawp:00-17

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    Keywords: Asset pricing; International financial markets;

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    Cited by:
    1. David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Working Papers 04-48, Bank of Canada.
    2. Grass, Gunnar, 2010. "The impact of conglomeration on the option value of equity," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3010-3024, December.
    3. Bianchetti, Marco, 2008. "Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," MPRA Paper 22022, University Library of Munich, Germany, revised 24 Jan 2010.

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