Working Papers

Quantitative Finance

F-series

Date:

Number:CARF-F-154

A Note on Construction of Multiple Swap Curves with and without Collateral ( Revised in January 2010 )

Author:Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi

Abstract

There are now available wide variety of swap products which exchange Libors with different currencies and tenors. Furthermore, the collateralization is becoming more and more popular due to the increased attention to the counter party credit risk. These developments require clear distinction among different type of Libors and the discounting rates. In this brief note, we will explain the method to construct the multiple swap curves consistently with all the relevant swaps with and without a collateral agreement.

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