RT Journal Article SR Electronic T1 The Bootstrap Algorithm, Par Swaps, and the FRN Method JF The Journal of Derivatives FD Institutional Investor Journals SP 51 OP 54 DO 10.3905/jod.2000.319150 VO 8 IS 2 A1 David J. Novak YR 2000 UL https://pm-research.com/content/8/2/51.abstract AB 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.