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.
OUR PRESENTER DISCUSSES:
- 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
Ping Sun, PhD
Dr. Sun, PhD is Senior Vice President, Financial Engineering at Numerix. He is also product manager of the Numerix CrossAsset analytics platform. During his career at Numerix, Dr. Sun’s work has appeared in number of publications and academic journals, and he has been showcased as a lecturer at a range of academic events and industry conferences. Dr. Sun served as a consultant to Lehman Brothers as a FX / EQ Desk Quant, and his extensive experience includes working to develop the Numerix cross-currency Economic Scenario Generator. He earned a Doctorate Degree in Physics from City College of New York, and a Master’s Degree and Undergraduate Degree in Physics from Fudan University in Shanghai, China.
Greg Murray
Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe, as well as conducting strategic industry research for different departments within Numerix. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.
