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Could someone please share a good starting point to learn about Multiple curves? More than exact theorems and proofs, I am mainly interested in reading about -

  1. How to build multiple curves - how to bootstrap simultaneously etc
  2. For a given swap trade, how will my risk look like on these curves.
  3. How should the curves handle different combinations of collateral/netting, forward settle etc.

The closest I got by searching on forums was here, but I'm looking for something more specific.

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I've always enjoyed OpenGamma's white paper: MULTIPLE CURVE CONSTRUCTION. It's a solid starting point from an implementation perspective.

Andersen & Piterbarg's "Interest Rate Modeling" (Volume 1) also has a good chapter on this topic that's pretty easy to follow.

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