The interest rate derivative markets are undergoing a profound change, evolving from a single-curve pricing approach to a multi-curve approach. The swap markets have effectively already moved to a dual-curve approach, with many market participants seeing clear evidence of collateral discounting in market prices. And one of the largest participants, the London Clearing House, uses OIS discounting for pricing over $218 trillion in notional of its interest rate swap portfolio.

But many market practitioners are experiencing challenges in moving to the new multi-curve approach, as they come to realize that they must completely rethink their pricing and valuation approaches from the ground up.

On June 8, 2012, Anna Barbashova of Numerix examined the impact of OIS discounting on valuation approaches, and how valuation best practices have changed in the new multi-curve framework.

Ms. Barbashova reviewed:

  • Curve construction practices in different jurisdictions in a multi-curve framework

    • OIS discounting curve construction in USD and EUR markets

    • Construction of projection curves

    • Construction of basis curves

  • Cross currency considerations

    • Cross currency curve construction

    • Cross currency swap pricing

  • Pricing of non-linear interest rate structures

    • Swaptions and swaption volatility surfaces

    • Caps and floors and their volatility surfaces

To view the 60 minute webinar replay, register on the right side of this page.

Featured Numerix Speakers:

 

Anna Barbashova, Business Analyst, Numerix
Ms. Barbashova is a part of Numerix Client Solutions team, focused on developing market initiatives and the implementation of market standards within Numerix Core analytics platform – Numerix CrossAsset. Ms. Barbashova holds an MA in Financial Mathematics from Columbia.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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