CIRJE-F-630 "A Note on Construction of Multiple Swap Curves with and without Collateral"
Author Name Fujii, Masaaki, Yasufumi Shimada and Akihiko Takahashi
Date July 2009
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Remarks Revised in January 2010; subsequently published in FSA Research Review, Vol.6, pp.139-157, March 2010.@
Abstract

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.