Term structure

Is Libor going away?

Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…

Two curves, one price

The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…

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