Multi-Curve Framework with Collateral
OpenGamma Quantitative Research, n.13, July 2013
44 Pages Posted: 28 Jul 2013 Last revised: 1 Dec 2013
Date Written: July 21, 2013
This note is dedicated to the impact of collateral on the multi-curve framework. The pricing formulas in presence of collateral are described in a generic way encompassing several financial realities. The collateral cases covered include cash collateral, foreign currency collateral, collateral by assets (collateral square) and collateral with haircut. The change of collateral is also described, including the convexity adjustment required. The pricing of STIR futures in this framework is analysed in detail.
Keywords: multi-curve framework, collateral, convexity adjustment, discounting, haircut, Libor derivatives
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