I’m going through the exercise of building a swap curve.
I understand I need libor rates for the short-end, futures for the medium-end, and swap rates for the long-end. Should I be using bid, mid, or ask prices for these inputs?
Another somewhat related question: how do swap dealers hedge swaps? I can see a combination of a floating-rate bond and a fixed-rate bond working as a hedge, but also a portfolio of Eurodollar futures. Which is preferred?