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Swap Curve Construction


The construction of a yield curve is fundamental to the pricing of all debt derivative products and debt securities. The objective of the Swap Curve Construction Workshop is that participants will gain an understanding of how swap yield curves are constructed in practice. Participants will be guided through the process known as 'bootstrapping', using a range of financial market instruments to construct a swap curve, including interpolation of discount factors.

With a strong emphasis on worked examples this workshop covers

  • review of discount factors and zero curves
  • 'bootstrapping' a swap curve in practice
  • using swap rates only
  • using Bank Bill rates, Bank Bill futures prices, and swap rates
  • interpolation of discount factors

The Swap Curve Construction workshop is an AFMA (Australian Financial Markets Association) workshop presented in Australia by Alex Palfi of Tykoh Training. Click here for more details.

Resources

Click here to download a spreadsheet on this topic given to participants at the conclusion of the workshop.