Building Curves on a Good Basis
Shinsei Bank Ltd
Shinsei Bank, Limited
affiliation not provided to SSRN
April 24, 2009
In this article we build a rigorous theory of discount curve construction and suggest a dual curve framework for pricing single and cross currency swaps consistently.
Number of Pages in PDF File: 21
Keywords: discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps
JEL Classification: G12
Date posted: April 25, 2009 ; Last revised: June 11, 2012
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