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zero swap curve literature
Hi guys,I am looking for some literature about how the zero swap curve is done in the practice.I know the basics of bootstrapping, but most examples dont incorporate day count convention etc.
zero swap curve literature
Search net for Lehman Brothers, Zhou (2002) - The Swap Curve. This is probably the best example that I've seen. I don't know of any literature that details daycounts, periodicity etc but you can find them on bberg (just look to the des of the swaps that form the underlyings of the curve).Also - this has been asked a lot on the forum - try searching through here as well. Perhaps someone else has seen something different.