Multiple Curve Construction

OG-Platform
1

Hi,
Did anybody have a chance to evaluate the multi-curve construction with OpenGamma. If yes can you please share it.
Thank you

2

Hi edapas

I’m working at OpenGamma and doing most of the multi-curve construction research and development. So my comments are biased. :wink:

We have put quite a lot of effort in the multi-curve construction/building. Even if the currently available features are better than most of the alternatives I have seen, we are in the process of up-grading the features further. This is not yet in the new release (1.2.0 was released today). But I can already describe some of the key points.

We will probably have a Webinar on the subject at some stage in January/February to show the theoretical background and the results achieved in practice. There will also be several documents with examples on how to use the features in practice.

Some of the key features already present:

  • Curve build with any set of instruments and a global root-finding process.
  • Flexibility for the interpolation scheme.
  • Possibility to build several curves simultaneously (not only successively) with entanglement between curves.
  • Full multi-curves Jacobian (even when multiple curves are build simultaneously).
    Some features soon available:
  • Flexibility to build curves as spread over existing curves and a clean sensitivity taking into account the dependencies.
  • Possibility to incorporate turn-of-the-year effect.
  • Possibility to represent the Ibor forward curves as pseudo discount factors or direct forward.
  • Different interpolators in different parts of the curves (using curve spreads)

A couple of related documents in our documentation are:

  • Multiple Curve Construction. OpenGamma Documentation (the formulas for the current implementation)
  • The analytic Framework for Implying Yield Curves from Market Data. OpenGamma Documentation (description of the current curve building implementation)
  • Multi-curves: Variation on a Theme. OpenGamma Research n.6 (recent research paper)

Don’t hesitate to email me/us if If you want to discuss a point in particular.

Marc Henrard | marc@opengamma.com

3

Thank you, I will check out the document and code. Thank you