Multi-Curves: Variations on a Theme
22 Pages Posted: 20 Oct 2012 Last revised: 14 Apr 2013
Date Written: October 19, 2012
Abstract
The multi-curves framework is often implemented in a way to recycle to one curve formulas; there is no fundamental reasons behind that choice. Here we present different approaches to the multi-curves framework. They vary by the choice of building blocks instruments (Ibor coupon or futures) and the definition of curve (pseudo-discount factors or direct forward rate). The features of the different approaches are described.
Keywords: Multi-curves framework, discounting, forward rates, Ibor indexes, interest rate futures, rate interpolation
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Interest Rates and The Credit Crunch: New Formulas and Market Models
-
Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
-
The Irony in the Derivatives Discounting Part II: The Crisis
-
Building Curves on a Good Basis
By Messaoud Chibane, Jayaprakash Selvaraj, ...