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
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.571560&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | A practical guide to swap curve construction / by Uri Ron. |
| Titre de la série | Bank of Canada working paper1701-93972000-17 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| 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. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada August 2000. |
| Description | 32p.graphs, references, table |
| ISSN | 1701-9397 |
| Numéro de catalogue |
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| Descripteurs | Interest rates Markets Prices Securities |