%0 Journal Article %A David J. Novak %T The Bootstrap Algorithm, Par Swaps, and the FRN Method %D 2000 %R 10.3905/jod.2000.319150 %J The Journal of Derivatives %P 51-54 %V 8 %N 2 %X One of the major developments in interest rate modeling has been the requirement that a viable theoretical model needs to be “arbitrage-free.” It is therefore unsettling when the same quantity, e.g., the theoretical value of a given swap, calculated in two different ways from the same data yields slightly different answers. Novak demonstrates that alternative standard procedures for pricing a swap can produce that result, due to a slight inconsistency between them in how the day-count conventions are handled in the calculation. %U https://jod.pm-research.com/content/iijderiv/8/2/51.full.pdf