• Tim Xiao deposited Zero Rate Curve Bootstrapping in the group Group logo of Business ManagementBusiness Management on Humanities Commons 5 years ago

    Zero curves can be derived from government bonds or LIBOR/swap instruments. The LIBOR/swap term structure offers several advantages over government curves, and is a robust tool for pricing and hedging financial products. Correlations among governments and other fixed-income products have declined, making the swap term structure a more efficient hedging and pricing vehicle.