Swap Curve

Swap Curve

A yield curve for a swap. The swap curve states the possible return for a swap on different maturity dates. See also: Bond yield curve.
References in periodicals archive ?
The regressions with forward rates from the swap curve (Charts 3-5 and Table 2) have similar structures.
However, in the new issue market, dealers increasingly give preliminary pricing indications relative to one of the several alternative benchmarks, typically either the swap curve or agencies.
We have recently seen the swap curve fall below 2012 levels; a development that we will continue to monitor.
This implies that insurers can choose either the DNB swap curve or the ECB AAA curve, the latter being the curve Aegon used for the calculation of the IGD (Insurance Group Directive) solvency ratio for Aegon the Netherlands.
5% range, the short end of the FX swap curve has moved upwards a bit, as 1M rates now trade around 5.
As an example, they propose the swap curve as a reference curve but other reference curves can be used.
This index (along with its related active member and retired member indices) is published daily, using the LIBOR interest rate swap curve as the discount curve, a highly liquid universe.
ICAP Equity Derivatives uses enhanced calculation and extrapolation techniques along with listed option data from exchanges, historical ICAP trade data and the variance swap curve to create an investment model which is calibrated and verified using daily ICAP trade data.
The product, called the NASDAQ OMX Interest Rate Swap (NOIS), is a futures contract for interest-rate swaps that makes it possible to obtain exposure to the SEK swap curve.
This flexibility, which is unique to Eris Flexes, appeals to hedgers looking to obtain FAS133 hedge accounting treatment, and to relative value funds and asset managers isolating exposure to specific points on the swap curve.
The downgrade of the French state on 12 July 2013 means that French government bonds are no longer included in the ECB A curve, hence led to a change in the composition of the only alternative interest rate curve Dutch insurers are allowed to use instead of the DNB swap curve to discount their insurance liabilities, subject to approval of DNB.
based futures exchange, embeds the cash flows of OTC interest rate swaps into a capital-efficient futures product cleared by CME Clearing and settled to the CME OTC IRS swap curve.