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1、THEPAST,PRESENTANDFUTUREOFCURVESTECHNICALPAPERDr.MarkGibbs,Dr.RussellGoyderThePast,PresentandFutureofCurves1Introduction12Thecurve-buildingproblem22.1Curve-buildingvscalibration23Abriefhistoryofcurve-building43.11980'sapproximations43.21990'sdevelopments83.2.1Fundings
2、pread83.2.3Tenorbasisswaps123.2.4Realswaps123.3Currentchallenges133.3.1OISdiscounting153.3.2Choiceofcollateralcurrency163.3.3Multiplediscountingmethods174Future-proofcurve-building204.1Model204.2CalibrationTarget214.3Instrumentstrategy224.4Optimizer234.5Sourcevaluatio
3、napproach244.6Targetvaluationapproach244.7Calibrationshowcase255Example:Simpledual-curveOISdiscountingbootstrap265.1Discountcurve265.2LIBORcurve285.3Marketdata285.4Roundtrip306Example:Multi-currencyCSA357Conclusion38Bibliography39AboutFINCAD40AbouttheAuthors40ThePast,
4、PresentandFutureofCurves
5、iii1INTRODUCTIONReadingaboutOISdiscountinginthefinancialpressinrecentmonths,itishardtoavoidthefollowingimpression:•interestratemodelingforvanillainstrumentswassimpleandwellunderstoodbeforethecreditcrisisof2008,•sincethecrisis,everythingneedsto
6、berethoughtfromfirstprinciples,resultinginaparadigmshiftinhowswapsandothervanillainterestrateinstrumentsarevaluedandhowcurvesarebuilt,and•institutionsaroundtheglobearescramblingtoupdatelegacyvaluationandriskmanagementsystemstocopewiththismodelingrevolution.Thispositio
7、nisonlyreinforcedbyanexaminationofrecentpressreleasesintheanalyticsvendorspace,whichproudlyannouncetheadventof“dualcurve”bootstrappingcapabilitiesandlistassetclassesthatcannowbepricedwiththenewapproach,afteranewsoftwarerelease.Ingeneral,thisisnotabadapproximationofrea
8、lity.Manyinstitutionsaroundtheworldareindeedexpendingconsiderableefforttoupdatelegacysystemstocopewiththepost-crisismarket.Manymarketparticipantsareindeedhavingtothrowouttheirexistingunderstandingofhowvanillaratesderivativesarepricedandlearnamoresophisticatedapproach.
9、Butthenotionthattheseideasandtechniquesthemselvesarenew,datingtotheaftermathofthe2008creditcrisis,isfalse.Infact,severalmark
