Interest Rate Modelling in the Multi-Curve Framework [electronic resource] : Foundations, Evolution and Implementation /
Henrard, M.author.
Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.
Description based upon print version of record.
Cover; Half-title; Title; Copyright; Contents; List of figures; List of tables; Preface; 1 Introduction; 1.1 9 August 2007; 1.2 Foundations, evolution, and implementation; 1.3 Standard textbook framework; 1.4 The precursors; 1.5 Earlymulti-curve framework literature; 1.6 Collateral and funding; 1.7 Howto read this book; 1.8 What is not in this book; 2 TheMulti-curve Framework Foundations; 2.1 One-curveworld; 2.2 Discounting curve; 2.3 Forward curves; 2.4 Interest rate swap; 2.5 Forward rate agreement; 2.6 STIRFutures; 2.7 Overnight indexed swaps; 2.8 Forex and cross-currency swaps
3 Variation on a Theme3.1 Forward curves through pseudo-discount factors; 3.2 Direct forward curves; 3.3 Futuresmulti-curve framework; 4 Interpolation; 4.1 What to interpolate?; 4.2 Impact of interpolation; 5 Curve Calibration; 5.1 Introduction; 5.2 What to calibrate?; 5.3 Calibration; 5.4 Discounting curve; 5.5 Index fixing; 5.6 Root-finding and Jacobian; 5.7 Instruments and curve entanglement; 5.8 Currency dependency; 5.9 Spread curves; 5.10 Functional curves; 5.11 Interpolation on externally provided dates; 5.12 Combining several effects; 5.13 Examples of standard curves; 6 MoreInstruments
6.1 Overnight indexed swaps6.2 Ibor couponswith datemismatches; 6.3 Compounded coupons; 6.4 Federal Funds swaps; 6.5 Federal Funds futures; 6.6 Deliverable swaps futures; 6.7 Portfolio hedging; 7 Options and SpreadModelling; 7.1 Short ratemodels; 7.2 Spreads description; 7.3 Constantmultiplicative spread; 7.4 Ibor forward ratemodelling; 7.5 Swap ratemodelling; 7.6 ParsimoniousHJMmulti-curve framework; 7.7 Additive stochastic spread; 7.8 Multiplicative stochastic spread; 7.9 Libormarketmodel onmultiple curves; 8 Collateral and Funding; 8.1 Introduction; 8.2 Collateral: rate, asset or both
8.3 Multi-curve framework with collateral8.4 Modelling with collateral: collateral HJM model; Appendix A. Gaussian HJM; A.1 Model; A.2 Generic results; A.3 Special cases; A.4 MonteCarlo (Hull-White); A.5 Miscellaneous197; Appendix B. Conventions; B.1 Ibor indexes; B.2 Overnight indexes; B.3 Forward rate agreement; B.4 STIRfutures; B.5 Coupons; B.6 Legs; B.7 Swaps; B.8 Interest rate swaps: fixed for Ibor; B.9 Overnight indexed swaps; B.10 Basis swap: Ibor for Ibor; B.11 Basis swap: Ibor for overnight; B.12 FederalFunds swaps; B.13 Present value quoteddeliverable swap futures; B.14 Forex swaps
B.15 Cross-currency swaps: Ibor for IborAppendix C. Implementation in a library; C.1 Curveuniverse object; C.2 Curve calibration; C.3 Algorithmic differentiation; Bibliography; Index
Includes bibliographical references and index.
Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.
Financial engineering.
Investment banking.
Securities.
Corporations—Finance.
Risk management.
Business enterprises—Finance.
Financial Engineering.
Investments and Securities.
Corporate Finance.
Risk Management.
Business Finance.