A Practical Guide to Swap Curve Construction

Uri Ron

Staff Working Papers from Bank of Canada

Keywords: Asset pricing; International financial markets (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Pages: 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: 2000
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (12)

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