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