3rd and 4th domains would be credit (including muni) and mortgage, but let’s put them aside, despite their very large market sizes.
There’s huge demand for IR swaps and riskfree bonds. To keep things simple (perhaps over-simplifying), we can say
– bonds are income-generation Investments, needed by every investor esp. serious investors including banks, fund managers and pension/insurance.
– swaps (on the long end of YC) and IR futures (on the short end) are needed for risk management (hedging) by large enterprises with interest rate exposures.
Both domains rely on their respective yield curves. The so-called curve instruments are never mixed. Let’s illustrate using USD
– swap curve is built from Libor instruments like Libor swaps, Libor FRA and ED deposits, but not Treasury instruments. In AUD market, there’s no Libor so people use BBSW.
– Treasury curve is built from T and T-futures, not Libor instruments
In Lida’s words, these would be the risky curve (AA curve) vs the riskfree curve (government curve).
Q: how about the OIS curve? I think it’s based on OIS instruments