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 ?
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).
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.
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.
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.