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 "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
conference

Structured Products & Derivatives Conference 2018

industry conference

CBOE 2018 - 34th Annual Risk Management Conference

white paper

LIBOR: Its Astonishing Ride and How to Plan for Its End

newsletter issue - Feb 7, 2018

Derivative Insights & Innovations - February 2018 Issue

video blog

The Graph Framework Advantage

press release - Jan 17, 2018

Numerix Oneview Insurance Named Actuarial Modelling Product of the Year in the Risk.net Market...

in the news - Jan 9, 2018

Datanami | Graph Databases Hit Wall Street

in the news - Jan 9, 2018

Chartis RiskTech 100 2018 | Winners' Review: Numerix

newsletter issue - Jan 11, 2018

Derivative Insights & Innovations - January 2018 Issue

in the news - Dec 21, 2017

CEO Today USA Awards 2017

in the news - Nov 28, 2017

CEO Today | Committed to Thinking outside the Box

written blog

The Dependency Graph Advantage