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

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
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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 CIRJE-F-630, CIRJE F-Series from CIRJE, 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.

Date: 2009-07

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Persistent link: http://EconPapers.repec.org/RePEc:tky:fseres:2009cf630

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