Building Curves on a Good Basis

21 Pages Posted: 25 Apr 2009 Last revised: 11 Jun 2012

Messaoud Chibane

ESSEC Business School

JayaPrakash Selvaraj

Shinsei Bank, Limited

Guy Sheldon

affiliation not provided to SSRN

Date Written: 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.

Keywords: discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps

JEL Classification: G12

Suggested Citation

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

Messaoud Chibane (Contact Author)

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
France

JayaPrakash Selvaraj

Shinsei Bank, Limited ( email )

Chiyoda, Tokyo
Japan

HOME PAGE: http://www.shinseibank.com/english/

Guy Sheldon

affiliation not provided to SSRN ( email )

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