Economics, Econometrics and Finance
4 years ago

New method simplifies construction of multiple swap curves for global markets.

RePEc: Research Papers in Economics
A Note on Construction of Multiple Swap Curves with and without Collateral
Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi

Paper Summary

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The article discusses how to create multiple swap curves for different types of Libors and discounting rates, with or without collateral agreements. This is important because there are many swap products exchanging Libors with various currencies and time periods, and collateralization is increasingly popular to manage counterparty credit risk. The researchers explain a method to construct these swap curves consistently, ensuring accuracy for all relevant swaps.