University of Twente Student Theses


Double effect : multiple interest rate curve bootstrapping

Spoor, Jeroen (2013) Double effect : multiple interest rate curve bootstrapping.

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Abstract:The main goal of this project is to investigate recent developments in interest rate curves construction techniques and pricing of interest rate derivatives in the multi-curve framework. The project will consist of two major parts. The first part deals with literature review, description of existing curve bootstrapping methods and developing new multi-curve approach. The second part of the project involves thorough analysis of OpenGamma library (open source modeling and derivatives pricing library) and actual implementation of multi-curve bootstrapping algorithms using this library. One extra challenge which will be addressed in this project is proper computation of convexity adjustments for Eurodollar futures. The aim is to study and implement a formula that explicitly incorporates volatility smile and realistic correlation structure of forward rates.
Item Type:Essay (Master)
Double Effect, Amsterdam, Netherlands
Faculty:EEMCS: Electrical Engineering, Mathematics and Computer Science
Subject:31 mathematics
Programme:Applied Mathematics MSc (60348)
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