A yield curve that depicts the relationship between the swap rate and maturity of a swap. In cases where the reference rate is typically LIBOR, the swap curve is referred to as the LIBOR curve. The swap curve is used as a reference for the floating rate of interest rate swaps and other types of swaps, particularly outside the United States. This curve differs from a bond yield curve in the sense that it [the swap curve] is not a default-free yield curve, since it reflects the credit risk of a counterparty to a swap.
August 20, 2024
