NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform

40 Pages Posted: 8 Apr 2021

See all articles by Nicholas Burgess

Nicholas Burgess

University of Oxford - Said Business School

Date Written: April 6, 2021


In this PowerPoint presentation we give an overview of yield curves, show how they are modelled and calibrated and give a brief overview of LIBOR reform.

Firstly we explain how to calibrate curves to imply forward rates & discount factors. Secondly, we outline the interpolation, optimization and solving process; showing how to calibrate curves in such a way to capture the necessary risk metrics required to compute analytical risk and rebuild curves for ultra-fast performance. Thirdly we give an outline of the LIBOR reform to ARR benchmarks and explain the new features of ARR yield curves.

We conclude with a step-by-step tutorial using an Excel workbook to demonstrate how to calibrate a yield curve, price swaps and compute real-time bucketed risk analytically.

Keywords: Libor, Benchmark Reform, IBOR, Alternative Reference Rate, Risk-Free Rate, SOFR, ESTR, Secured, Unsecured, Yield Curves, Calibration, Risk

JEL Classification: C02, C23, C54, C61, E27, E37, E43, E44, E47, E52, E58, F37, F38, G12, G15, G21, G24, G28

Suggested Citation

Burgess, Nicholas, NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform (April 6, 2021). Available at SSRN: https://ssrn.com/abstract=3820145 or http://dx.doi.org/10.2139/ssrn.3820145

Nicholas Burgess (Contact Author)

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

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