TY - JOUR T1 - The Bootstrap Algorithm, Par Swaps, and the FRN Method JF - The Journal of Derivatives SP - 51 LP - 54 DO - 10.3905/jod.2000.319150 VL - 8 IS - 2 AU - David J. Novak Y1 - 2000/11/30 UR - https://pm-research.com/content/8/2/51.abstract N2 - 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. ER -