Multi-Curves: Variations on a Theme

22 Pages Posted: 20 Oct 2012 Last revised: 14 Apr 2013

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

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

Henrard, Marc P. A., Multi-Curves: Variations on a Theme (October 19, 2012). Available at SSRN: https://ssrn.com/abstract=2164331 or http://dx.doi.org/10.2139/ssrn.2164331

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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OpenGamma ( email )

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University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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