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

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
Additional contact information
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

No CARF-F-154, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The 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.

Pages: 19 pages
Date: 2009-07, Revised 2010-01
References: Add references at CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/159.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf154

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().