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spot rates and swaps

Posted: April 26th, 2010, 11:34 am
by nikag
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 ??

spot rates and swaps

Posted: April 26th, 2010, 12:59 pm
by Martinghoul
Well, there's a market out there, isn't there? It's Alexander the Great to your Gordian knot.