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A Practical Guide to Swap Curve Construction

  • 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
    Date of revision:
    Handle: RePEc:bca:bocawp:00-17
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