Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework

Create a vendor selection project & run comparison reports
Click to express your interest in this report
Indication of coverage against your requirements
A subscription is required to activate this feature. Contact us for more info.
Celent have reviewed this profile and believe it to be accurate.
18 January 2019
United States

Speaker: Ping Sun, PhD., Senior Vice President, Financial Engineering, Numerix


Challenges in Curve Stripping:

  • Underlying & Derivatives
  • Bootstrapping vs. Global Solving
  • Functionalities Needed in Curve Stripping

Numerix Multi-Curve Framework:

  • Solving Multiple Curves Carrying Multiple Currencies
  • Central Bank Meeting Dates
  • Turn Effects
  • Interpolation & Extrapolation
  • Spread Curves
  • Alternative Reference Rates and Curve Stripping

Event details

Geographic Focus
Asia-Pacific, EMEA, LATAM, North America