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Multi-curve framework

In mathematical finance, the multi-curve framework refers to the simultaneous use of multiple interest rate curves to price the various fixed income securities and derivatives, based on their characteristics, particularly tenor, but also currency.

Art, Curve construction & Other curves

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Overview

Context

Curve construction

Transition

Other curves

Risk management

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Multi-curve framework

Nodes77
Edges76
Triples34
Avg. degree1.97
Density0.025974
Components1

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Multi-curve framework

Top relations

related to Curve construction · 17
Multi-curve framework → Although, Fixed-income, FRAs, Here, IBOR, IBOR IRSs, IBOR-tenor, IRSs, Multi-curve, OIS, OISs, Rational, Swaps, The, Thus, Under, What
related to Further reading · 9
Multi-curve framework → Applied Quantitative Finance, Evolution, Foundations, Henrard, Implementation, Interest Rate Modelling, ISBN, June, Palgrave Macmillan
related to Context · 8
Multi-curve framework → Following, Historically, IBOR, IRSs, LIBOR, MRRs, This, Thus

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Important terminology

curves curve framework risk rates discounting solved multi-curve rate various collateral discount factors market interest see also tenor libor usd

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Multi-curve frameworkrelated to ContextHistorically0.60section
Multi-curve frameworkrelated to ContextIRSs0.60section
Multi-curve frameworkrelated to ContextLIBOR0.60section
Multi-curve frameworkrelated to ContextIBOR0.60section
Multi-curve frameworkrelated to ContextMRRs0.60section
Multi-curve frameworkrelated to ContextThis0.60section
Multi-curve frameworkrelated to ContextFollowing0.60section
Multi-curve frameworkrelated to ContextThus0.60section
Multi-curve frameworkrelated to Curve constructionAlthough0.60section
Multi-curve frameworkrelated to Curve constructionMulti-curve0.60section
Multi-curve frameworkrelated to Curve constructionRational0.60section
Multi-curve frameworkrelated to Curve constructionSwaps0.60section

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