In the Vol 3 No 2 Issue of the Numerix Journal, we explore curves and curve construction. Interest rate curves play an integral role in finance, where they are used in key functions such as pricing, risk analysis, portfolio allocation, and forecasting. Since the 2008 financial crisis, the market has moved away from using a single interest rate curve towards a multi-curve framework in which different curves are used for discounting and projections. Taking this into account, Numerix has expanded its interest rate curve functionality and support for the multi-curve approach. In this special edition, we present three papers on curve-related topics, including multi-curve methods. We conclude with an article introducing Numerix multi-curve functionality, both current and planned.

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies. - See more at: https://www.numerix.com/numerix-journal-vol-2-no-2#sthash.3x8Hxhve.dpuf

TABLE OF CONTENTS

Editors Note

ARTICLES

USD Multi-curve Construction: Bootstrapping vs. Global Solving
A Note on Constructing Treasury Yield Curves
Expanded View: Interpolation Methods in CrossAsset

Featured Article on Numerix Products and Services

Curves and Curve Construction in Numerix

 

Looking for more Numerix Journal Issues? Visit our Journal Home Page

Request This Issue

Complete the form below to request this complimentary issue of the Numerix Journal.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
on-demand webinar

Riesgo de Contraparte para Latinoamerica (CVA)

video blog

Steering the Initial Margin Process to Determine Full MVA Cost

newsletter issue - Jul 10, 2018

Thinking Derivatively - July 2018 Issue

analyst report

Risk.net XVA Special Report 2018

news - article pdf - Jul 5, 2018

CEO Today | COO & EVP Dawn Patrick Featured on Cover of CEO Today

news - article pdf - Jul 5, 2018

CEO Today Business Women of the Year Awards 2018 | Dawn Patrick Profile

info graphic

XVAs Defined: The Profitability Puzzle

on-demand webinar

A Competitive Edge in OTC E-Trading — Next-Generation Technology Capable of Delivering Tomorrow...

conference presentation

Fixed Income Investment in Rising Interest Rates

live webinar

Riesgo de Contraparte para Latinoamerica (CVA)

journal issue

Numerix Journal Vol. 5, No. 1

white paper

LIBOR Alternative Rates: The Transition and the Future of OTC Derivatives Pricing and Curve...