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


Masaaki Fujii


University of Tokyo - Faculty of Economics

Yasufumi Shimada


Shinsei Bank, Ltd

Akihiko Takahashi


University of Tokyo - Graduate School of Economics

January 26, 2010

CARF Working Paper Series No. CARF-F-154

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.

Number of Pages in PDF File: 20

Keywords: Libor, swap, tenor, yield curve, collateral, overnight index swap, cross currency, basis spread

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Date posted: July 30, 2009 ; Last revised: January 29, 2010

Suggested Citation

Fujii, Masaaki and Shimada, Yasufumi and Takahashi, Akihiko, A Note on Construction of Multiple Swap Curves with and without Collateral (January 26, 2010). CARF Working Paper Series No. CARF-F-154. Available at SSRN: http://ssrn.com/abstract=1440633 or http://dx.doi.org/10.2139/ssrn.1440633

Contact Information

Masaaki Fujii
University of Tokyo - Faculty of Economics ( email )
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
Japan
Yasufumi Shimada
Shinsei Bank, Ltd ( email )
Chiyoda, Tokyo
Japan
Akihiko Takahashi (Contact Author)
University of Tokyo - Graduate School of Economics ( email )
Tokyo
Japan
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