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Building Curves on a Good Basis


Messaoud Chibane


Shinsei Bank Ltd

JayaPrakash Selvaraj


Shinsei Bank, Limited

Guy Sheldon


affiliation not provided to SSRN
April 24, 2009


Abstract:     
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

working papers series


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Date posted: April 25, 2009 ; Last revised: June 11, 2012

Suggested Citation

Chibane, Messaoud, Selvaraj, JayaPrakash and Sheldon, Guy, Building Curves on a Good Basis (April 24, 2009). Available at SSRN: http://ssrn.com/abstract=1394267 or http://dx.doi.org/10.2139/ssrn.1394267

Contact Information

Messaoud Chibane (Contact Author)
Shinsei Bank Ltd ( email )
Chiyoda, Tokyo
Japan
JayaPrakash Selvaraj
Shinsei Bank, Limited ( email )
Chiyoda, Tokyo
Japan
HOME PAGE: http://www.shinseibank.com/english/
Guy Sheldon
affiliation not provided to SSRN ( email )
Feedback to SSRN (Beta)


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Citations:  9

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