Interest Rate Modelling in the Multi-Curve Framework · Foundations, Evolution and Implementation (Applied Quantitative Finance) by Henrard, Marc -- Read -- Imperial Library of Trantor

Index

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 Early multi-curve framework literature 1.6 Collateral and funding 1.7 How to read this book 1.8 What is not in this book

2 The Multi-curve Framework Foundations

2.1 One-curve world 2.2 Discounting curve 2.3 Forward curves 2.4 Interest rate swap 2.5 Forward rate agreement 2.6 STIR Futures 2.7 Overnight indexed swaps 2.8 Forex and cross-currency swaps

3 Variation on a Theme

3.1 Forward curves through pseudo-discount factors 3.2 Direct forward curves 3.3 Futures multi-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 More Instruments

6.1 Overnight indexed swaps 6.2 Ibor coupons with date mismatches 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 Spread Modelling

7.1 Short rate models 7.2 Spreads description 7.3 Constant multiplicative spread 7.4 Ibor forward rate modelling 7.5 Swap rate modelling 7.6 Parsimonious HJM multi-curve framework 7.7 Additive stochastic spread 7.8 Multiplicative stochastic spread 7.9 Libor market model on multiple curves

8 Collateral and Funding

8.1 Introduction 8.2 Collateral: rate, asset or both 8.3 Multi-curve framework with collateral 8.4 Modelling with collateral: collateral HJM model

Appendix A. Gaussian HJM

A.1 Model A.2 Generic results A.3 Special cases A.4 Monte Carlo (Hull-White) A.5 Miscellaneous

Appendix B. Conventions

B.1 Ibor indexes B.2 Overnight indexes B.3 Forward rate agreement B.4 STIR futures 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 Federal Funds swaps B.13 Present value quoted deliverable swap futures B.14 Forex swaps B.15 Cross-currency swaps: Ibor for Ibor

Appendix C. Implementation in a library

C.1 Curve universe object C.2 Curve calibration C.3 Algorithmic differentiation

Bibliography Index