Curve Building Part 1: Single Currency Curve Construction
Better curve knowledge is good for business. There’s a sharper focus on curves today from regulators and counterparts alike. Market participants need to be able to understand and explain how they arrived at rates and prices. Finastra’s new Pricing and Risk Metrics Guides are designed to give you the expertise you need to understand and build curves.
Finastra’s new Pricing and Risk Metrics Guides are designed to give you the expertise you need to understand and build curves.
Part 1 of our Linear Interest Rate Series covering Single Currency Curve Construction explains how to:
- Build your own curve so you are not reliant on third-party vendors
- Be consistent in approach over different terms to make sure comparisons are fair
- Mix instruments (for example, cash rates, futures and spreads between different curves) to build a curve
Designed for traders, risk managers and professionals responsible for model validation, this guide will help you understand how to build a multi-curve framework within a single currency, improving your risk understanding.
Download our guide now for an expert perspective on curve construction and to validate your own techniques.
You can see parts 2 and 3 of our curve building guide series here.
