Interest Rate Basis Curve Construction and Bootstrapping

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June 06, 2018

Interest Rate Basis Curve Construction and Bootstrapping

The term structure of an interest rate basis curve is defined as the relationship between the basis zero rate and it’s maturity. Basis curves are used as the forecast curves for pricing interest rate products. The increase in basis spreads has resulted in large impacts on non-standard instruments. This presentation gives an overview of basis curve bootstrapping and construction at



June 06, 2018