Behind the curve

Behind the curve

Behind the curve

Derivatives markets have grown at breakneck pace over the past 30 years, with hundreds of trillions of dollars in notional now outstanding. So, it may come as a surprise that there’s so much debate about how to value a simple, plain vanilla swap. Since the financial crisis, however, derivatives dealers have had to re-evaluate how they price collateralised and non-collateralised swap transactions – a change that has led to multiple approaches and a lack of comparability between valuations

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...


You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: