whllyg 发表于 2012-7-5 17:38 
Thanks much. You just hit the point!
Regarding to yield curve construction, which is more common ...
well...curve construction is far from trivial
regarding instrument selection, simpliy speaking, liquid futures are normally used to fit mid term of the curve while swaps for long term part (beyond 2 years for instance). There are normally no conflicts between those two type of instruments since futures beyon 2 years are not that liquid. Instead it's the short term of the curve that might have overlap between deposit and futures which you have to make a choice. which one to choose normally depends on factors such as
1. which instrument you normally used for hedging
2. the quality of the resulting curve (for instance which one will generate more smooth forward curve?)
3. liquidity (not an issue here since they are both very liquid)
it really depends on your preference......each bank does in its own way......
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