curve bootstrappingmultiple yield curvesforward curvediscount curvebasis adjustmentquanto adjustmentGiven a forwarding LIBOR-style curve F corresponding to a fixed tenor (e.g. 6m) and an exogenous discounting c
5 It also reflects more recent empirical findings, such as Anderson, Hammond, and Ramezani (2010) and Egorov, Haitao, and Ng (2011), that the cross-currency interest rate dynamics can be separated into common factors and local factors. These studies suggested that using a multi-factor state...
SwapcollateralderivativesLiborcurrencyOISbasisHJMCSACollateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be ...