Building Curves on a Good Basis

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

See all articles by Messaoud Chibane

Messaoud Chibane

NEOMA 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)

NEOMA BUSINESS SCHOOL ( email )

1, rue du Maréchal Juin
Mont Saint-Aignan, 76130
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 )

Register to save articles to
your library

Register

Paper statistics

Downloads
3,627
Abstract Views
10,602
rank
2,573
PlumX Metrics