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A Note on Construction of Multiple Swap Curves with and without Collateral

Author

Listed:
  • Masaaki Fujii

    (Graduate School of Economics, University of Tokyo)

  • Yasufumi Shimada

    (Capital Markets Division, Shinsei Bank, Limited)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

Abstract

There 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.

Suggested Citation

  • Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2009. "A Note on Construction of Multiple Swap Curves with and without Collateral," CARF F-Series CARF-F-154, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
    • Handle: RePEc:cfi:fseres:cf154
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