A Note on Construction of Multiple Swap Curves with and without Collateral
University of Tokyo - Faculty of Economics
Shinsei Bank, Ltd
University of Tokyo - Graduate School of Economics
January 26, 2010
CARF Working Paper Series No. CARF-F-154
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.
Number of Pages in PDF File: 20
Keywords: Libor, swap, tenor, yield curve, collateral, overnight index swap, cross currency, basis spread
Date posted: July 30, 2009 ; Last revised: January 29, 2010
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