# Tag Info

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### What is the Swap Curve?

Garabedian, Typically, the "swap curve" refers to an x-y chart of par swap rates plotted against their time to maturity. This is typically called the "par swap curve." Your second question, "how it ...
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### Shape and geometry of the yield curve

You can't make any concrete statements about the monotonicity, convexity or even sign of the yield curve. Yields are almost always positive, and in the past (2007 and earlier) you could find people ...
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### Deriving Interest Rates

There are two parts to your question and I'd like to answer them separately. Curve Construction On a daily basis, you can observe prices on a large variety of instruments, whose prices are driven by ...

### What does instantaneous forward mean?

1. Observable instruments, spot rates, and forward rates First remember that something observable means that you can observe/find the rate in the market by looking at traded rate instruments or ...
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### What does instantaneous forward mean?

Given a forward rate, for example: $F(t, T, T+\delta)$ The instantaneous forward rate $f(t,T)$ fixed in $t$ is the limit when $\delta \rightarrow 0$ of your forward rate. If the relation between ...

### Swap curve construction

I think your question can be split into two parts: (i) how to value a swap mathematically and (ii) how swaps actually work as a traded product. Part (i): As noob2 pointed out, "theoretically"...
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### Calculating instantaneous forward rate from zero-coupon yield curve

Your overall approach is correct. However to my knowledge it is formally more appealing to work with a parameterized and smoothed yield curve. Basically one assumes that the yield curve can be ...
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### Do we use the Nelson-Siegel model to calculate the yield curve?

In the beginning, we had a plot of yields of individual bonds against time to maturity, the crudest form of "yield curve." Years later, people began hand-drawing a smoothed line through these yields ...