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
webinar - Aug 20, 2020

Risk.net On-Demand Webinar | LIBOR Transition in Asia-Pacific: How to Stay Ahead of the Curve

written blog

How to Make the Smart Investment in FinTech

on-demand webinar

Adapting Market Risk Management Practices Amidst COVID-19

on-demand webinar

The State of Capital Markets Post COVID-19: Major Paradigm Shifts​

on-demand webinar

Transición a SOFR y su impacto en el mercado colombiano

newsletter issue - Nov 4, 2020

Thinking Derivatively – November 2020 Newsletter

white paper

White paper | How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach

analyst report

Aite: The State of Capital Markets Post-Pandemic: Major Paradigm Shifts

on-demand webinar

Transición a SOFR y su impacto en el mercado peruano

info graphic

Infographic | Tracking the Development of Local Alternative Reference Rates in APAC

newsletter issue - Oct 14, 2020

Thinking Derivatively – October 2020 Newsletter

analyst report

LIBOR Risk Q3 2020 | Risk Magazine Quarterly Report