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

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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=9.615330&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleA practical guide to swap curve construction / by Uri Ron.
Series title
  • Working paper 1192-5434 100-17
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital 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.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2000.
BindingSoftcover
Descriptionv, 24p. : figs., references, tables ; 28 cm.
ISSN1192-5434
Catalogue number
  • FB3-2/100-17E
Subject terms
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