Swap Curve

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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 ?
Content includes volatility surfaces, variance swap curves and forward curves for the top 13 global equity indices, with maturities from one month up to 10 years and strikes between 5% and 400% of spot.
Finally, the lower hedge costs of longevity swaps according to the RH model with non-Gaussian innovations are not only based on the lower swap curves implied by the best prediction model, but also in terms of the fatter tails of the unexpected losses it generates.
Daily settlement based on the CME Clearing OTC swap curves
A rebound in credit markets continued with spreads tightening about 12 basis points on iTraxx's Asia ex-Japan investment grade index , while regional interest rate swap curves were mostly higher and steeper.
Further, the shape and slope of the agency, corporate, and swap curves have all been affected by the Treasury curve inversion.
The solution supports various currencies and collateral types, and covers the construction of OIS Curves, IR swap curves, Basis curves, XCCY basis curves and Cheapest-To-Deliver Curve - a blended collateral discounting curve that is optimized through the trade lifecycle among the various currency collateral curves.
Also included are the underlying government bond and swap curves, security-specific risk sensitivities and Credit Default Swap (CDS) instruments.
1 introduces new support for municipal ("muni") derivatives and securities, including vanilla Muni Swaps, Muni Basis Swaps, Muni Swaptions, Muni Swap Curves and Bond Curves, Muni Variable Rate Demand Obligations (VRDO), and fixed rate Muni Bonds.
AC Contour includes an out-of-the-box library of standard curves, including bond curves, zero-coupon swap curves, FX forwards conversion curves, volatilities, synthetic FX options volatilities, correlations and variance-covariance matrices.
OTC Derivatives Valuation: adoption of multiple pricing curves - Kevin Samborn investigates a remarkable new development in the derivatives market regarding how swap curves are valued.
It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves.
In addition to access to real-time curve snapshots, all of PricingDirect's swap curves undergo an extensive quality control process before they are utilized for valuation.