Basis Curve
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21.09.2021
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
The term structure of an interest rate basis curve is defined as the relationship between the basis zero rate and it’s maturity. Basis curves are used as the forecast curves for pricing interest rate products. The increase in basis spreads has resulted in large impacts on non-standard instruments.
Further information
Further reading
https://timxiao1203.github.io/IrBasisCurve-3.pdf
Language
English
DOI
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