Building Curves on a Good Basis
21 Pages Posted: 25 Apr 2009 Last revised: 11 Jun 2012
Date Written: 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.
Keywords: discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps
JEL Classification: G12
Suggested Citation: Suggested Citation