There are now available wide variety of swap products which exchange Libors
with different currencies and tenors. Furthermore, the collateralization is becoming
more and more popular due to the increased attention to the counter party credit
risk. These developments require clear distinction among different type of Libors and
the discounting rates. In this brief note, we will explain the method to construct
the multiple swap curves consistently with all the relevant swaps with and without a
collateral agreement.
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