Luigi Ballabio

StatPro Italia Srl

via E. de Amicis 53

Milano, 20123

Italy

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The ABCD of Interest Rate Basis Spreads

Number of pages: 20 Posted: 30 Nov 2015 Last Revised: 13 Jul 2016
Digital Gold Institute, StatPro Italia Srl and Digital Gold Institute
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Abstract:

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forward rates, basis, multi-curve, multi-curve modelling, tenor basis spread, ABCD, pseudo-discount factors, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, QuantLib