A practical guide to swap curve construction / by Uri Ron. : FB3-2/100-17E
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
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | A practical guide to swap curve construction / by Uri Ron. |
| Series title | Working paper1192-5434100-17 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 2000. |
| Binding | Softcover |
| Description | v, 24p. : figs., references, tables ; 28 cm. |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Interest rates Markets Prices Securities |
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