Timeline for Swap curve construction
Current License: CC BY-SA 4.0
11 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 1, 2020 at 11:59 | history | edited | Jan Stuller | CC BY-SA 4.0 |
deleted 4 characters in body
|
| Oct 1, 2020 at 8:27 | history | edited | Jan Stuller | CC BY-SA 4.0 |
added 76 characters in body
|
| Sep 9, 2020 at 15:00 | history | edited | Jan Stuller | CC BY-SA 4.0 |
added 42 characters in body
|
| Aug 8, 2020 at 6:32 | history | edited | Jan Stuller | CC BY-SA 4.0 |
edited body
|
| Jul 11, 2020 at 7:45 | comment | added | Jan Stuller | @DimitriVulis: good points, Dimitri: I removed the comment from the edit. Thanks for your inputs! | |
| Jul 11, 2020 at 7:44 | history | edited | Jan Stuller | CC BY-SA 4.0 |
deleted 242 characters in body
|
| Jul 10, 2020 at 15:53 | comment | added | Dimitri Vulis | Regarding your last comment I'm not sure that going back to single-curve architecture would be possible now. For USD, the projection curve for SOFR-linked coupons will be the SOFR curve; but there are swaps reset from Fed Funds or SIFMA Muni index or other exotics, which may be in the multicurve . The discount curve should be whatever the collateral earns / funding costs, which may be approximately OIS. For other currencies, the multicurve may include cross-currency basis. There are also advantages in including treasury yield curves in multicurves. | |
| Jul 10, 2020 at 12:35 | history | edited | Jan Stuller | CC BY-SA 4.0 |
added 431 characters in body
|
| Jul 9, 2020 at 7:35 | history | edited | Jan Stuller | CC BY-SA 4.0 |
edited body
|
| Jul 9, 2020 at 7:01 | history | edited | Jan Stuller | CC BY-SA 4.0 |
added 112 characters in body
|
| Jul 8, 2020 at 18:43 | history | answered | Jan Stuller | CC BY-SA 4.0 |