What is the Swap Curve? - Quantitative Finance Stack Exchange Typically, the "swap curve" refers to an x-y chart of par swap rates plotted against their time to maturity This is typically called the "par swap curve " Your second question, "how it relates to the zero curve," is very complex in the post-crisis world
how to derive yield curve from interest rate swap? Thus we use zero-rate curve derived from yields of defined liquid securities to build swap curve (bootstrapping) Then use the rates from each tenor in Swap curve to value the cashflows of IRS floating leg $\endgroup$ –
derivatives - What is a Constant Maturity Swap (CMS) rate . . . A swap rate can be considered as a weighted-average of forward rates e g a two year par swap rate would be the fixed rate that makes a swap on (assume) LIBOR have NPV zero at inception Usually, a LIBOR curve (or more generically a forward curve) would be bootstrapped using swap rates in the market (usually from 2y on-wards)
Why is there a difference between curve swap rate and market swap rate? However, I would be careful about asking the curve for the rate For one thing, it wouldn't work when the fixed leg has more than one coupon; in that case, the quoted rate is not easily calculated, because it's the rate that all fixed coupons should pay for the swap to be fair, and it doesn't correspond to any one forward rate on the curve
Cross Currency Swap pricing - Quantitative Finance Stack Exchange With cash-collateralised, daily margined, OIS-accrued bilateral arrangements, as far as I'm aware, a CCBS executed as a single trade (in major currencies) is generally collateralised in a single currency (usually USD), and thus the right discounting curve to use is the OIS curve relevant to that currency (i e FedFund curve)
formula for physical DV01 of interest rate swap Most answers to the question "what is the dv01 of an interest rate swap" are along the lines of: "compute the difference between the price of the swap and its price using a curve perturbed by 1 basis point"
interest rate swap - What is Dual Curve Bootstrapping? And how to do it . . . A multi-curve means that you observe the discounting instruments (such as fed funds) and projection (libor, swap curve) and solve for all of them simultaneously; as opposed to bootstrapping separately a projection curve and a discounting curve A simple paper with examples is Numerix Model Calibration: The Multiple Curve Approach
What is the EUR swap curve on Bloomberg? I. e. what is the EUR . . . The curve Bloomberg EUR swaps curve (YCSW0045 Index) is indeed the euro equivalent of the Bloomberg USD swaps curve (YCSW0023 Index) By equivalent I mean that each curves are constructed in the same manner : using sames types of instruments (deposits, FRAs, futures, swaps) with the same bootstrapping implying method (exact fit vs best fit)
Mid-curve swaption - Quantitative Finance Stack Exchange 1y mid-curve vol on 4y5y rate: this is the volatility of a swaption expiring in 1 years, then settling into a 4y forward 5y swap So given the spot and mid-curve vols, it's straightforward to back out the corresponding forward vol
Swap curve construction - Quantitative Finance Stack Exchange If you build your swap curve from such swap rates and ED futures (whose underlying is 3MO LIBOR) and all you want from this curve is to project 3Mo LIBORs (e g to project the cash flow of a vanilla IR swap), then you don't need the tenor basis