Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework

Part three of our webinar series examining the LIBOR transition broke down current curve stripping challenges and demonstrated how Numerix’s cutting-edge multi-curve framework can help market participants address them.

As 2018 progressed, it became clear that the markets are not waiting for the 2021 LIBOR decommission. The evolution from this storied benchmark has already begun. Keeping pace with the changes in its wake will be a critical undertaking in 2019.

Curve stripping is more challenging than ever before, as key reference rates move from LIBOR to Fed Funds to Alternative Reference Rates. This introduces new curve instruments based on the alternative reference rates in addition to new features in existing instruments.

Amid all this change, basic curve features still need to be captured including bootstrapping and global solving, central bank meeting dates, spread curves, turn effects, interpolation and extrapolation. And having flexibility to introduce new curve member instruments is now even more essential.

Numerix CrossAsset’s cutting-edge multi-curve framework is a flexible and powerful analytic solution built for evolving markets. Our global solving capabilities allow users to build multiple, inter-dependent curves simultaneously. New curve member instruments can be easily included, making the transition to alternative reference rates seamless.


  • Challenges in Curve Stripping
    • Underlying & Derivatives
    • Bootstrapping vs. Global Solving
    • Functionalities Needed in Curve Stripping
  • Numerix Multi-Curve Framework
    • Solving Multiple Curves Carrying Multiple Currencies
    • Central Bank Meeting Dates
    • Turn Effects
    • Interpolation & Extrapolation
    • Spread Curves
  • Alternative Reference Rates and Curve Stripping
  • Conclusion

On-Demand access is complimentary, Registration is required.

Featured Speakers


Want More from Numerix?

Subscribe to our mailing list to stay current on what we're doing and thinking at Numerix