Abstract
As we saw in previous chapters, the interest rate curve constructed from LIBOR instruments no longer is very useful for estimating value in modern financial settings. Initially, the events of 2007, when the markets changed their operation, led to much confusion. Many banks were slow to change their systems, but some moved faster. Those that moved faster gained an advantage, and slowly other banks began to see the importance of changing their view of the world of interest rates.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
Further reading
Deventer, K. J. (1994) ‘Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness’, The Journal of Fixed Income. 52–62.
Patrick S. Hagan, G. W. (2008) ‘Methods for Constructing a Yield Curve’, WILMOTT Magazine.
Ron, U. (2000) ‘A Practical Guide to Swap Curve Construction’, Bank of Canada Working Paper 2000–17.
West, G. (n.d.) ‘A brief comparison of interpolation methods for yield curve construction’, www.finmod.co.za.
Copyright information
© 2013 Andrew Sutherland and Jason Court
About this chapter
Cite this chapter
Sutherland, A., Court, J. (2013). Discount and Forward Interest Rate Curves. In: The Front Office Manual. Global Financial Markets. Palgrave Macmillan, London. https://doi.org/10.1057/9781137030696_5
Download citation
DOI: https://doi.org/10.1057/9781137030696_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-44055-9
Online ISBN: 978-1-137-03069-6
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)