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
analyst report

Risk.net Beyond LIBOR Special Report 2018

white paper

The 5 Top-of-Mind Issues Dominating the LIBOR Transition

newsletter issue - Oct 11, 2018

Thinking Derivatively - October 2018 Issue

written blog

Why We're Putting Front-Office Risk Transformation Into Focus

analyst report

Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018

press release - Oct 9, 2018

Numerix Recognized as Leading Provider of Front-Office Risk Technology

product collateral

Numerix Oneview For XVA | Fact Sheet

product

Oneview for XVA - Comprehensive XVA Management Built on the Best Analytics

news - article pdf - Sep 12, 2018

Waters Rankings 2018 | Numerix Profile

industry conference

Risk USA 2018

industry conference

Equity-Based Insurance Guarantees Conference 2018

conference presentation

Visión Global