[求助]swap rate 和LIBOR zero rate的关系

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请问swap rate和LIBOR zero rate之间有什么关系？能够只用swap rate就 计算出LIBOR zero rate吗？

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关键词：LIBOR Rate zero swap ATE 关系 Rate swap zero LIBOR

补充，swap rate 和即期利率、远期利率又有什么关系呢？swap rate 在计算互换的价值时能用上吗？

不好意思，问题多了点！

恳请赐教！

In fact, "zero LIBOR rates" can be obtain by interpolating from "Swap rates" for active maturities. 

Following is an example:

Maturties(Years): 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 ..... 

Swap rates: a b (N/A) d (N/A) f (N/A) (N/A) (N/A) j

Zero LIBOR rates: a b c d e f g h i j

There are many type of interpolating algorithm, most usually used is standard cubic spline.

So could above serve as an answer to your first two questions? 

你的问题真有意思，没有swap rate怎么算fix leg啊，呵呵

swap curve ---(BOOTSTRAPING)----->zero curve ----(NO ARBITRAGE CONDITION)---->forward curve

希望對你有幫助

以下是引用summerye在2007-3-27 17:04:00的发言：

In fact, "zero LIBOR rates" can be obtain by interpolating from "Swap rates" for active maturities. 

Following is an example:

Maturties(Years): 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 ..... 

Swap rates: a b (N/A) d (N/A) f (N/A) (N/A) (N/A) j

Zero LIBOR rates: a b c d e f g h i j

There are many type of interpolating algorithm, most usually used is standard cubic spline.

So could above serve as an answer to your first two questions? 

Yeah, thank you very much. It helps me a lot!

以下是引用reading在2007-3-27 18:11:00的发言：
你的问题真有意思，没有swap rate怎么算fix leg啊，呵呵

大侠莫笑话小女子嘛，因为初学衍生物，很多概念都还不太清楚，可能在各位眼里，这些问题过于菜了，所以啊，才要求助各位啰！嘻嘻！

以下是引用anovachen在2007-3-28 12:15:00的发言：

swap curve ---(BOOTSTRAPING)----->zero curve ----(NO ARBITRAGE CONDITION)---->forward curve

希望對你有幫助

谢谢你，我还得再想想！

多谢大家，大家都好牛哦！努力努力，向你们学习！！！

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