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

CARF Working Paper Series No. CARF-F-154

20 Pages Posted: 30 Jul 2009 Last revised: 29 Jan 2010

Masaaki Fujii

University of Tokyo - Faculty of Economics

Yasufumi Shimada

Shinsei Bank, Ltd

Akihiko Takahashi

University of Tokyo - Faculty of Economics

Date Written: January 26, 2010

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.

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

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: https://ssrn.com/abstract=1440633 or http://dx.doi.org/10.2139/ssrn.1440633

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 - Faculty of Economics ( email )

7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
Japan

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