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.
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(15) With a slight abuse of terminology, we use the term "swap rate" for individual forward rates as well as for swap curves (a series of swap rates).
Expression (3) shows that if the intensity of mortality is uncorrelated with bond market returns (a reasonable first-order approximation), the longevity swap curve just involves the survival probabilities [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] relative to the different maturities {[T.sub.i]}.
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.
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.
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.
agency and corporate bond transactions are still priced versus Treasuries, and Treasuries are often exchanged between dealers and investors in these transactions (though a growing number of agency transactions are priced off the interest rate swap curve).
agency debt, the most liquid corporate debt issues, and LIBOR (as represented out the maturity spectrum by the interest rate swap curve).
Institutional fixed-income investors are starting to use the swap curve as the benchmark for the riskier (or "spread") sectors.
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.
According to the RH model with non-Gaussian innovations, the swap premiums are lower, but the VaR and CTE are higher, which means that the lower price of the hedge is 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.
In the longevity swap application, we demonstrate that the swap curves of the original RH model are higher than those of the RH model with non-Gaussian innovations.