PTauxPC

This project proposes to illustrate the construction techniques of projection curves and refresh rate.

Since the various crises that started in 2007, the estimation and modeling of interest rates prevailing have been strongly challenged. Indeed, following the explosion of various measures of interbank spreads, Libor-OIS or tenor basis swaps, pricing "traditional" uses a single curve for updating and projection does not work. Indeed, spreads no longer being considered negligible mention new factors to consider: the risk of defect in the product definition (via the Libor panel of contributors), counterparty risk (with or without collateral) and funding risk (the hedging strategy). This project proposes to illustrate, in VBA / Excel, the construction techniques of projection curves (or forward) and refresh rate (or discount) incorporating this new situation. To this end, we have undertaken to implement the technique of "Multiple Curve Model" derived in large part on the work of researchers Ferdinando Marco Bianchetti and M. Ametrano (see "Bootstrapping the illiquidity").

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