The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process.

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.

TABLE OF CONTENTS

Editor's Note
 

PAPERS

Multi-Curve Cheyette-Style Models with Lower Bounds on Tenor Basis Spreads
 

A New Arbitrage-Free Parametric Volatility Surface
 

STIRs and OIS Futures in the Hull-White Model
 

FEATURED ARTICLES ON NUMERIX PRODUCTS AND SERVICES

Next Generation Python-Based Templates
 

CrossAsset Worker Processes

 

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