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
on-demand webinar

Avoiding Common Pitfalls on the Path to Digital Transformation

in the news - May 9, 2018

OpenFin Expands Beyond Front Office

in the news - May 9, 2018

Numerix Deploys Oneview on OpenFin's Operating System

press release - May 4, 2018

Numerix Retains Leading Position as Sell Side Technology's Best Provider of XVA Pricing...

live webinar

Avoiding Common Pitfalls on the Path to Digital Transformation

newsletter issue - May 1, 2018

Thinking Derivatively - May 2018 Issue

numerix conference

Join us for NEXT 2018 - the Global Numerix User Conference

written blog

New Forces Impacting E-Trading of OTC Derivatives

news - article pdf - Apr 18, 2018

Women in Technology and Data Awards 2018 | Support Professional of the Year (Vendor)

analyst report

SRP Structured Products Platform Report 2018 - Numerix

newsletter issue - Apr 11, 2018

Thinking Derivatively - April 2018 Issue

conference

Data Disrupt 2018