-
Basis Curve Introduction
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- basis curve, curve construction, curve bootstrapping, zero rate curve
- Permanent URL:
- http://dx.doi.org/10.17613/j0a5-gs71
- Abstract:
- The basis curve construction methodology is based on the most liquid market instruments. Normally a basis curve is divided into two parts. The short end of the term structure is determined using LIBOR rates and the remaining is derived using basis swaps.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
irbasiscurve-3.pdf