Dual bootstrapping and multiple-tenor swap curve construction

A short presentation on the basic building blocks of creating forward curves after the credit crisis. We look at curve blending, extrapolation and interpolation issues, as well as modelling tools. An example of a multi-tenor EUR-swap curve is presented. This is a non-technical presentation.
For more information please contact Magnus Nyström.‍

Presentation (PDF)

Tech interface (PDF)

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