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.
Title A practical guide to swap curve construction / by Uri Ron.
Series title Bank of Canada working paper1701-93972000-17
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Other formats Paper-[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.
Description 32p.graphs, references, table
ISSN 1701-9397
Catalogue number
  • FB3-2/100-17E-PDF
Subject terms Interest rates
Markets
Prices
Securities
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.
Date modified: