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
newsletter issue - Aug 13, 2020

Thinking Derivatively – August 2020 Newsletter

quantitative research

A new arbitrage-free parametric volatility surface

news - article pdf - Aug 11, 2020

SRP Asia Awards 2020: Numerix Wins Best Pricing & Analytics Provider

white paper

White paper | The Current State of XVA Usage in Latin America

live webinar - Aug 18, 2020

Webinar 8/18 | LIBOR Transition in Asia-Pacific: How to Stay Ahead of the Curve

written blog

The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR...

news - article pdf - Jul 20, 2020

Numerix - Data and Analytics Vendor of the Year : GlobalCapital’s Americas Derivatives Awards 2020

newsletter issue - Jul 14, 2020

Thinking Derivatively – July 2020 Newsletter

on-demand webinar

Capitalizing on Market Change: The Rapid Evolution of the Structured Product Market

on-demand webinar - Jul 1, 2020

Numerix and CubeLogic On-Demand Webinar | Risk Management Post COVID-19: Lessons Learned So Far

press release - Jul 7, 2020

Numerix Introduces New Artificial Intelligence Solution to Address $200 Trillion of Financial...

product collateral

Numerix Oneview for the LIBOR Transition | Fact Sheet