Multi-Curves: Variations on a Theme
22 Pages Posted: 20 Oct 2012 Last revised: 14 Apr 2013
Date Written: October 19, 2012
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
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