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I know what a Swap Curve is. But I don't understand what a Basis Swap Curve is and how it is constructed?

Need some guidance on this.

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  • $\begingroup$ Where did you see this term ? $\endgroup$ – lcrmorin Apr 20 '15 at 12:00
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Here you can find what you need for.

It explains how to build & price a basis swap curve in a step-by-step procedure.

The link leads on the 2nd page to the guide (relative to the question), but, I suggest you to start from the 1st post.

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    $\begingroup$ The link is no longer working $\endgroup$ – lakesh Jul 6 '17 at 12:51

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