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A practical guide to swap curve construction / by Uri Ron.: FB3-2/100-17E-PDF

This paper outlines the advantages of using the swap curve, and provides a detailed methodology for deriving the swap term structure for marking to market fixed-income products. The paper concludes with a discussion of the proposed swap term structure derivation technique.--Abstract

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571560&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleA practical guide to swap curve construction / by Uri Ron.
Series title
  • Bank of Canada working paper 1701-9397 2000-17
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[English]
Note(s)
  • "This paper outlines the advantages of using the swap curve, and provides a detailed methodology for deriving the swap term structure for marking to market fixed-income products. The paper concludes with a discussion of the proposed swap term structure derivation technique."--Abstract.
  • The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication.
  • Résumé en français.
Publishing information
  • Ottawa - Ontario : Bank of Canada August 2000.
Description32p.graphs, references, table
ISSN1701-9397
Catalogue number
  • FB3-2/100-17E-PDF
Subject terms
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