Question to any I.R swaps traders

[FTSEBOY]

Hi there

If there are any Interest Rate swaps traders out there, would someone be able to tell me how to create a swaps curve out to 30 years? Also is there a difference between a swaps curve and a money market curve?

Many thanks in advance

FTSEBOY

 

[Rhody Trader]

If there are any Interest Rate swaps traders out there, would someone be able to tell me how to create a swaps curve out to 30 years?

A colleague of mine could answer this, but the best I can say off the top of my head right now is that I'm pretty sure it utilizes the eurodollar futures strip.

Also is there a difference between a swaps curve and a money market curve?

If I understand your question correctly, yes. The former is based on implied rates. The latter is actual, meaning based on what you would receive if you were to buy each instrument out the curve right now.

 

[FTSEBOY]

Thanks Rhody Trader. I thought that it may have had something to do with the ED strip. I seem to be getting confused with the swap and money market curve. It would be great if your colleaugue could confirm what 'swaps points' to use before I do any interpolation. Now I might be wrong and I am sure that there are missing 'points' but I always thought it went as follows :-

?
?
EDH8
EDM8
EDU8
EDZ8
EDH9
EDM9

2 year something which could be 2 year T-note, or T-note future, or even swap
5 year something which could be 5 year T-note, or T-note future, or even swap
10 year something which could be 10 T-note, or T-note future, or even swap
20 year something which could be 20 T-note, or T-note futures, or even swap
30 year something which could be 30 year T-bond, or T-bond futures, or even swap

Any further assistance greatfully received

FTSEBOY

 

[grantx]

FTSE,

This may help (look under heading "Construction of the full yield curve from market data"):

Yield curve - Wikipedia, the free encyclopedia

Swaps are included.

Grant.

 

[A Dashing Blade]

this is pretty good . . .
"A Practical Guide To Swap Curve Construction" by Uri Ron
http://www.bankofcanada.ca/en/res/wp/2000/wp00-17.pdf

 

[FTSEBOY]

Guys thank you ver much for assistance on this.

FTSEBOY