Yield curves construction methods
Yield curves construction methods

Key concepts and evolution of market practice

Author(s): Paweł Olsza
Subject(s): Economy, Business Economy / Management, Financial Markets
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu
Keywords: term structure of interest rates;swap;swap instruments;yield curve;interest rate swap;forward rate agreement;tenor basis swap;overnight indexed swap;cross currency interest rate swap;bootstrapping;
Summary/Abstract: The chapter provides broader view on the methods presented in the previous chapter and is related to the market practice. It contains information about the usage of term structure of interest rates in pricing swap instruments. The main swap instruments in the Polish financial markets are presented here. In the chapter it is shown that after the crisis of 2007-2009 more advanced methods, assuming the existence of many yield curves, are needed in practice.

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