Does anybody know how fincad accounts for dates which are not used when deaing with swaps? for example - suppose i'm using cash rates and swaps to build a yield curve, but i don't knw what the 2 yeaqr swap rate is, what happens?

Hi Matt,Why, it'll simply interpolates... depends on the setting you use for "method_boot":There are four settings: 1 interpolate from discount factors and from constant forward rates 2 interpolate from rates and splice assuming constant forward rates 3 interpolate from discount factors and from linear par swap rates 4 interpolate from rates and splice assuming par swap rates So, it'll be interpolated using the discount curve, most likely. If you are using constant forward rates, then FinCAD will simply extend the forward curve over the 2 year horizon. Try it out, you'll see.Hope this helps.

HiIs Fincad the leader in its field or are there other providers that I should consider? I am looking to build interest rate yield curves (perhaps with seperate discount and projection curves depending on currency basis) and then refer to these curves using fairly basic (not option) interest ratte pricing functions ie Swaps, FRas, Forward sttarting swaps etcThanks very muchPaul

My name is Gurpreet Banwait and I work for FINCAD. The curve building functions (in version 11) allow the user to select the bootstrapping method, the interpolation method and the types of instruments that are going to be used to build the curve (cash, swaps and/or futures). For detailed information, I have included a link to an article that was published in Wilmott Magazine in July 2006 that provides information as to the various methods FINCAD use's. http://fincad.com/news/assets/pdfs/dec0 ... ilding.pdf