swapkäyrä

A swapkäyrä, often translated as swap curve, is a financial concept used in the over-the-counter (OTC) derivatives market, particularly in interest rate swaps. It represents a set of interest rates that are derived from the prices of interest rate swaps. Essentially, it's a way to infer the market's expectations for future interest rates.

The swap curve is constructed by observing the market prices of various interest rate swaps with different maturities. For example, a swap dealer might observe the bid and offer prices for one-year, two-year, five-year, and ten-year interest rate swaps. These observed prices are then used to calculate the implied interest rates for each maturity. A common method for constructing the swap curve is through bootstrapping, where the rates for shorter maturities are used to derive the rates for longer maturities.

The shape of the swap curve provides valuable information about market sentiment. An upward-sloping curve, where longer-term rates are higher than shorter-term rates, typically suggests expectations of rising interest rates. Conversely, a downward-sloping curve indicates expectations of falling interest rates. A flat curve suggests that the market anticipates stable interest rates.

Swap curves are crucial for various financial activities. They are used for pricing other interest rate derivatives, hedging interest rate risk, and for economic forecasting. Banks and financial institutions rely on swap curves to understand the cost of borrowing and lending at different time horizons and to manage their exposure to interest rate fluctuations.