A Note on Construction of Multiple Swap Curves with and without Collateral
AbstractThere are now available wide variety of swap products which exchange Libors with different currencies and tenors. Furthermore, the collateralization is becoming more and more popular due to the increased attention to the counter party credit risk. These developments require clear distinction among different type of Libors and the discounting rates. In this brief note, we will explain the method to construct the multiple swap curves consistently with all the relevant swaps with and without a collateral agreement.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-630.
Length: 19 pages
Date of creation: Jul 2009
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-02 (All new papers)
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