Skip to main content

Questions tagged [multicurve]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
1 answer
74 views

What XCCY pricing inputs do large market makers use for FX Forwards/Swaps?

While there are a few similar questions on here regarding FXF pricing, I was unable to find something that answers this directly. To be more specific, it's clear that as per CIP, the pricing inputs ...
denzilly's user avatar
0 votes
0 answers
95 views

Pricing a swaption in a Hull-White model with two curves

Let's say the forward swap rate $s_t$ is equal to $$s_t = \frac{\sum_{j=1}^N \delta_j^{\textrm{float}} P_{t,T_j^{\textrm{float}}}^{\textrm{disc}} L_t^{[T_{j-1}^{\textrm{float}},T_j^{\textrm{float}}]}}{...
11house's user avatar
  • 113
2 votes
0 answers
228 views

Onshore vs offshore curve construction

Can anyone guide me to links or literature regarding onshore vs offshore curve construction? What kind of instruments do you use? Take for CNH (offshore) (vs) CNY (onshore curves) for example: For CNY ...
Benedict's user avatar
  • 346
4 votes
3 answers
617 views

pricing in the case where payment currency and collateral currency are different?

I'm asking for the curve construction of the discount curve in the case where payment currency and collateral currency are different. If I refer to BBG, in the case of a USD swap collateralized in EUR,...
SIMO's user avatar
  • 51
1 vote
0 answers
34 views

FVA demonstration? [duplicate]

In the well-known article by Mr. Piterbarg "Funding Beyond Discounting". he demonstrates that the price of a derivative product in a multi-curve universe: Who also expresses it but without ...
SIMO's user avatar
  • 51
0 votes
0 answers
152 views

Confusion about Initial Pricing IRS with Dual Curves

This is my first time delving into dual curves, or multiple yield curves. A question struck me about using OIS discounting when choosing the swap rate of a new IRS. Without multiple yield curves I ...
Sinbad The Sailor's user avatar
0 votes
0 answers
67 views

Single Curve Problem - due to Basis [duplicate]

I recently came across the single curve problem that states that we need differenct curves for discounting cashflows and projecting forward floating rates. On google I am not able to find a proper ...
Maths student G's user avatar
2 votes
1 answer
1k views

Yield curve bootstrapping: direct market rates vs discount factors interpolation

From my understanding, there are (most generally speaking) two approaches for bootstrapping the yield curve (with an exact method). We can either interpolate between the market quotes (interbank ...
deblue's user avatar
  • 281
1 vote
0 answers
193 views

forward LIBOR curve bootstrapping

how can i construct a forward libor curve, which produces forward LIBOR rates, with the given data/info: par rates of a set of OIS fixed 6M LIBOR rate par rates of a set of Swaps which the underlying ...
bsundr's user avatar
  • 11
2 votes
1 answer
293 views

Cash flow mapping on multi curve framework

I am trying to map cash flows according to FRTB pillar dates, on an Interest Rate Swap fixed Vs Euribor 6 months. Using the sensitivity preserving approach, under the OIS framework, this has to be ...
Akai M's user avatar
  • 31
3 votes
0 answers
443 views

Implementation of solvers for curve construction

I'd be really interested to hear people's experiences of implementing global solvers for curve construction, especially with regard to how robust the approach is in practice, numerical performance, ...
Marco's user avatar
  • 139
10 votes
1 answer
3k views

Volatility adjustment for SOFR/OIS caplet referencing LIBOR vol

Suppose that today the price of a 3m LIBOR caplet with 6m expiry has been calibrated with a particular implied volatility. How would one go about thinking about an adjustment to that volatility to ...
Attack68's user avatar
  • 10.7k
1 vote
1 answer
210 views

How to construct a GBP FVA curve from a USD FVA curve

Our business funds itself in 2 currencies, USD and ZAR. As a consequence we have a USD funding curve. I need to price a GBPZAR cross-currency swap (XIRS) against a counterparty with which we have no ...
acchan94's user avatar
5 votes
1 answer
5k views

What is Dual Curve Bootstrapping? And how to do it, with an example?

I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve. I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear words). ...
Mathematician Joe's user avatar
0 votes
1 answer
2k views

Monotonic Cubic Spline interpolation QuantLib python

I am new to QuantLib-Python and I am trying to replicate the implementation of a Dual Curve bootstrap using QuantLib-Python. I have followed the steps in Chapter 9 of the QuantLib Python Cookbook. ...
Alepo's user avatar
  • 3
0 votes
0 answers
80 views

In the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? [duplicate]

I am a newbie to fixed income quant side and I am trying to understand in the curve building process, why do we need funding curve and projected curve and what are they exactly in current industry? ...
Guifan Li's user avatar
1 vote
1 answer
708 views

Proper Method for pricing Interest rate swaps using dual curves

I am aware that under the dual curve method for pricing standard collateralized fixed floating interest rate swaps, that first a discounting curve should be constructed e.g. OIS Discounting curve, as ...
Skrrrrrtttt's user avatar
0 votes
2 answers
493 views

Extrapolation between today and the spot date curve building

I'm trying to build my libor curve using (Deposit, FRAs and Swap) instruments with the goal that my curve match the murex curve, my parameters are : My today date is : 23/10/2019 Start of my deposit ...
Gogo78's user avatar
  • 636
5 votes
3 answers
605 views

Curve building dates overlapping impact on discount factor

I'm building a short end of the libor curve using deposit & fra due to overlapping in dates I get wrong values of Discount factor, here's the data i'm working with: My today date is : 23/10/2019 ...
Gogo78's user avatar
  • 636
1 vote
1 answer
189 views

Discounting in multicurve environment

Given that the longest tenor for LIBOR in 12M, what rate do we use to discount a cash flow due in, say, 18 months? Some suggest that we use the 12M rates for 1 year and 2 year to interpolate, but ...
Confounded's user avatar
1 vote
0 answers
293 views

Calibrate an HJM model in a multicurve setup

I am a mathematician and I'm working on my thesis on Financial Mathematics. I studied this model HJM in a multicurve setup: $$ \begin{cases} df(t,T)=a(t,T)dt+\sigma(t,T)dW_t & (\mbox{rik-free})\...
Skills's user avatar
  • 171
2 votes
1 answer
461 views

Recommended Instruments (and sources) for Constructing Money Market Yield Curves

What instruments are the current industry recommendations for constructing money-market yield curves in some major currencies? The switch after the crisis to multi-curve methods is well documented on ...
Jared's user avatar
  • 745
1 vote
2 answers
1k views

From Libor Curve rates to "forward" zero-coupons

I am provided a 6M euribor curve, constructed from FRA's and swaps of tenor 6M on the euro, as well an EONIA curve, constructed from zero-coupons EONIA swaps. Both curves are provided as functions $d\...
11house's user avatar
  • 113
2 votes
1 answer
536 views

Convexity in interest rate curve bootstrapping

Whether the bootstrapping is a multicurve one or not, one can use futures quotes. One link these quotes to corresponding (synthetic) forwards (that can be expressed as known functions of zero-coupons) ...
Olórin's user avatar
  • 1,223
0 votes
1 answer
242 views

Libor Market Model Implementation

I'm trying to implement an LMM-MultiCurve for caplet pricing following the analytical formula mentioned in this article (pg 20): https://www.researchgate.net/publication/...
Yassine Q.'s user avatar
1 vote
1 answer
347 views

Building a consistant Forward curve in the multicurve framework

I'm wondering what is the best practice for a consistent Forward Curve construction in the multicurve Framework (cf Bianchetti & Ametrano 2013): Suppose for example that we have already ...
Ouadia's user avatar
  • 65
1 vote
1 answer
603 views

Lattice pricing of derivatives under multi curve framework (OIS and LIBOR)

My goal is to price various derivatives resetting to 1M and 3M LIBOR via using a lattice. I have calculated an OIS curve for discounting and adjusted 1M and 3M LIBOR forward curves to be consistent ...
RyanM's user avatar
  • 75
4 votes
0 answers
815 views

Equations for multicurve calibration with OIS discounting

I am trying to calibrate my forecast and discount curves using the multi-curve approach with OIS discounting. To do so, I have a implemented multivariate Newton-Raphson root finder. I am finding a bit ...
Iliana's user avatar
  • 139
2 votes
1 answer
2k views

Which discount curve to use when valuing multi currency swaps

I've been looking around the internet but cannot find the exact answer to my question. Normally when valuing an IRS one uses eonia (for eur swaps) to discount the cashflows. Let's imagine I have a ...
Oamriotn's user avatar
  • 355
3 votes
2 answers
316 views

expected change in value of a derivative in a multicurve framework

I'm reading Piterbarg paper, "Funding beyond discounting: collateral agreements and derivatives pricing." and have a question about equation $(6)$. There he says that for a derivative we ...
math's user avatar
  • 1,738
3 votes
2 answers
3k views

Introduction to Multiple Curve construction

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 - How to build multiple curves - how to ...
InnocentR's user avatar
  • 702
8 votes
3 answers
8k views

Why is CSA currency OIS rate used in discounting instead of local currency OIS?

I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ...
beefield's user avatar
4 votes
1 answer
6k views

What is the difference between a benchmark yield curve, funding curve and a basis spread curve?

I am trying to understand why these curves are important, and what they are used for in the industry today (if not at all).
Yodan's user avatar
  • 43
1 vote
0 answers
195 views

forward curve and cap/floors in nowadays environment

I'm currently trying to get the implied volatility of a vanilla Euro floor with maturity 1Y with data from bloom. I have the price ( which is not supposed to take into account the first floorlet ...
hariboy13's user avatar
2 votes
1 answer
633 views

Building curves using onshore or offshore JPY overnight rates?

I am trying to build Japanese Yen interest rate curves. When defining the curve instruments for the 'OIS' (discount) curve (aka TONAR), I am uncertain as to which rate to use for the overnight deposit ...
rex's user avatar
  • 627
1 vote
1 answer
1k views

ZSpread in multiple curve framework

how do I calculate ZSpread for a govt. bond in a multiple curve framework? I have not come across the exact details anywhere so I want to verify if I'm right. Below is my understanding, please correct ...
InnocentR's user avatar
  • 702
2 votes
1 answer
1k views

Comparison of multicurve calibration methods

It seems that there are mayor softwares around offering a multicurve framework based on bootstrap. I find this puzzling nowadays, given the distinct advantages of best-fit optimization methods and ...
Quartz's user avatar
  • 1,553