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.
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