d********s
发帖数: 64 | 1 和zero curve 有什么区别？
basis swap 是指两个floating rate 交换。basis curve 是什么RATE？怎么样
construct? | g******n
发帖数: 67 | 2 zero curve is built by using zero rates(only one coupon payment at maturity)
. Basis curve is defined as a comparison with swap curve。For example, USD
swap curve is based on Libor 3m, using 3m deposit, euro dollar futures and
swaps．USD Libor 6m curve is a basis curve. Although there is Libor 6m swaps
traded in the market, the most liquid ones are Libor 3m vs Libor 6m basis
swaps. Thus, theoritically, you can use 6m deposit, 6m FRAs and 3m vs 6m
basis swaps(the spread is added on the Libor 6m leg). You can still use the
same bootstrapping method to build a basis curve as you do for the swap
curve. The only difference is for the non-standard floating leg, here taking
Libor 6m as an example, the discounting curve and the forward forcasting
curve are different. the discounting curve is the Libor 3m curve, while the
forward forcasting curve is the Libor 6m curve you want to solve. | h*******9
发帖数: 33 | 3 haha, i know you who le.
maturity)
swaps
the
taking
【在 g******n 的大作中提到】
: zero curve is built by using zero rates(only one coupon payment at maturity)
: . Basis curve is defined as a comparison with swap curve。For example, USD
: swap curve is based on Libor 3m, using 3m deposit, euro dollar futures and
: swaps．USD Libor 6m curve is a basis curve. Although there is Libor 6m swaps
: traded in the market, the most liquid ones are Libor 3m vs Libor 6m basis
: swaps. Thus, theoritically, you can use 6m deposit, 6m FRAs and 3m vs 6m
: basis swaps(the spread is added on the Libor 6m leg). You can still use the
: same bootstrapping method to build a basis curve as you do for the swap
: curve. The only difference is for the non-standard floating leg, here taking
: Libor 6m as an example, the discounting curve and the forward forcasting
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