What is the Swap Curve? - Quantitative Finance Stack Exchange The swap curve was a "self discounting" curve derived from the products referencing IBOR with a given term To price a such a swap on needs to know the discount factors to discount both fixed and floating future payments
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
derivatives - What is a Constant Maturity Swap (CMS) rate . . . A constant maturity swap (CMS) rate for a given tenor is referenced as a point on the Swap curve A swap curve itself is a term structure wherein every point on the curve is the effective par swap rate for that tenor This is analogous to a 3m LIBOR curve represents 3m forward rates for a given tenor
Swap curve construction - Quantitative Finance Stack Exchange If the IRS swap you are valuing is '3m Libor vs fixed' you need the 3m curve, that is clear yes? In additional you will need a separate discounting curve Are you familiar with the "two curve framework" for valuing swaps?
Cross Currency Swap pricing - Quantitative Finance Stack Exchange Discount the base currency payments with the base foreign basis curve and net with the foreign payments It seems to me that if I calculate the forward fx prices using a simple interest rate differential, then the basis curve should match the base risk free curve
Discount Curve Vs Forward Curve - Quantitative Finance Stack Exchange Even for the simplest product such as a vanilla swap, you need at least one forward curve (e g , 3M LIBOR forward curve) for cash flow generation, and a discount curve (e g , OIS discount curve) for computing present values Try searching for "multi-curve" and there are many answers already