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nikag
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Joined: February 13th, 2008, 5:11 am

spot rates and swaps

April 26th, 2010, 11:34 am

To calculate spot rates : we use bootstrapping on libor and swap rates and to value a swap rate we need spot rates . Seems like a egg and hen problem ??
 
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Martinghoul
Posts: 188
Joined: July 18th, 2006, 5:49 am

spot rates and swaps

April 26th, 2010, 12:59 pm

Well, there's a market out there, isn't there? It's Alexander the Great to your Gordian knot.