A graphical representation of the market LIBOR rates for maturities typically under one year. LIBOR rates are not intended for long-term borrowing, so the LIBOR curve is most useful for setting short-term interest rates. Long-term rates are inferred from the rates of similar financial instruments. The LIBOR curve and the Treasury yield curve are the two most commonly used proxies for the risk-free return of a bond. The LIBOR curve tends to be steeper and to start at a higher yield percentage than the Treasury yield curve. also called interest rate swap curve, floating-rate curve.
Related information about LIBOR curve:
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Definition of LIBOR curve: A graphical representation of the market LIBOR rates ... LIBOR rates are not intended for long-term borrowing, so the LIBOR curve is ...
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A swap that's a liability will become a bigger liability and a swap that's an asset will be a larger asset when the OIS curve is used in place of the LIBOR curve.
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They are the most important and widely used in the financial markets, and are known variously as the LIBOR curve or the swap curve. The construction of the ...
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Aug 13, 2012 ... Academic literature prescribes the building of the zero coupon LIBOR curve using BBA's LIBOR settings (at the short end), LIBOR futures, and ...
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LIBOR curve is richer at the short end, because only a few Treasury securities have an original maturity of one year or less. The LIBOR curve, of course, does ...
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At any given time, the market's forecast of what LIBOR will be in the future is reflected in the forward LIBOR curve. At the time of the swap agreement, the total ...