The Past, Present and Future of Curves
October 16, 2014

In this technical paper, Dr. Mark Gibbs, Chief Software Architect and Dr. Russell Goyder, Director of Quantitative Research, provide an in-depth look at the ideas that form the basis of modern curve-building and the challenges that brought about the need for change.

The credit crisis of 2008 and its aftermath have eclipsed all other influences on curve-building in the last decade. The limitations of LIBOR as a proxy for borrowing costs became apparent and the market has shifted to OIS as a result. In addition, counterparty exposure and the use of collateral agreements and central clearing to reduce or eliminate it has come into sharp focus.

Download this technical paper to understand:

  • Claims of a post-crisis "revolution" in interest modeling
  • Curve-building challenges around OIS discounting, and multi-currency curves
  • Ideas that now form the basis of modern curve-building
  • Key concepts of a generic curve-building system
  • Construction of a future-proof curve-building capability
The Past, Present and Future of Curves
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