Constructing Basis Swap Curves
Basis Swap Curves are commonly used by market participants for pricing basis swaps. When bootstrapping basis swap curves, practitioners supply a term structure of swap basis spreads (i.e. 1m USD LIBOR vs. 3m USD LIBOR), a discount yield curve, and a floating curve of a base tenor (i.e. 3m USD LIBOR). A robust basis swap curve forms the basis for accurate swap pricing.

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Constructing Basis Swap Curves with Numerix LiquidAssetBasis Curve Calculator

Numerix LiquidAsset is a Microsoft Excel add-in which provides market-standard pricing models in easy-to-use functions and workbooks for pricing, curve construction and risk calculations of Basis Swaps and other interest rate swap derivatives. LiquidAsset can help you manage your IR swap portfolio within minutes of installation.

      Instrument Coverage and Pricing Models
  • Basis Swaps, Vanilla IR Swaps, Amortizing Swaps, Floating Rate Notes, Forward Rate Agreements: Standard Deterministic IR Model
  • Callable Swaps, European Swaptions, Caps/Floor, Constant-Maturity Swaps:
    Hull-White One Factor, Black Karasinski
More Interest Rate
Derivatives Coverage
Numerix LiquidAsset includes a full-range of functions to help you manage your entire Interest Rate Derivative portfolio:
  • Basis Swaps
  • Vanilla IR Swaps
  • Amortizing Swaps
  • Callable Swaps
    Intuitive Calculations & Detailed Function Outputs
  • Calculates a projection curve of a tenor of LIBOR from basis swaps spreads

  • Outputs curve ID, which can be used as an input to pricing function as a projection curve

  • Supplies a discount factor table for ease of use
    Flexible Function Inputs
  • Bootstrap basis curve from market basis swap quotes for accurate basis swap pricing - Interpolation methods include Linear, LogLinear, Cubic, Flatleft, and Flatright

  •  Pre-populated Market conventions with “out-of-the-box” conventions for major curriencies (with the flexibility to modify or add conventions as needed), to save time researching the conventions
Benefits to Pricing with Derivative Analytics Software

Derivative analytics software makes it possible for every institution, sell- or buy-side, to access industry standard derivative pricing models and increased flexibility to take advantage of opportunities in new markets and new derivative instruments. Pricing tools offer sophisticated market participants a competitive advantage by providing efficiency and consistency in pricing and risk analytics, creating a common language and pricing framework from front to back office, as well as transparency of models and methodology – all without requiring the infrastructure and resources that would be needed to create derivative pricing models in-house.