A Practical Guide to Swap Curve Construction
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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|
|Contact details of provider:|| Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada|
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- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Lars E.O. Svensson, 1994.
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NBER Working Papers
4871, National Bureau of Economic Research, Inc.
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- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
- Jordan, Bradford D & Jordan, Susan D, 1997. " Special Repo Rates: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 52(5), pages 2051-2072, December. Full references (including those not matched with items on IDEAS)
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