Post by saladinarabi on Aug 15, 2009 0:08:20 GMT 4
A Note on Construction of Multiple Swap Curves with and without Collateral
Masaaki Fujii
University of Tokyo - Graduate School of Economics
Yasufumi Shimada
Shinsei Bank, Ltd
Akihiko Takahashi
University of Tokyo - Graduate School of Economics
June 5, 2009
CARF Working Paper Series No. CARF-F-154
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1440633_code1278997.pdf?abstractid=1440633&mirid=4
Masaaki Fujii
University of Tokyo - Graduate School of Economics
Yasufumi Shimada
Shinsei Bank, Ltd
Akihiko Takahashi
University of Tokyo - Graduate School of Economics
June 5, 2009
CARF Working Paper Series No. CARF-F-154
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1440633_code1278997.pdf?abstractid=1440633&mirid=4