Multi-curve framework book: new edition in progress

Subject:

Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, and Implementation

It has been more than 10 years since I wrote the first edition of the multi-curve framework book. What happened in those 10 years? Why did it take me so long to start a new version?

It took me roughly 10 years to write the first edition. The reason it took so long at that time, was that I did not know that I was writing it! I thought I was writing a couple of pages on an obscured and theoretical idea that there was not a ``one curve to rule them all'' but multiple curves. It turned out that it became the actual practice for very clear and important reasons.

That was the excuse for the first edition, what is the excuse for the second edition?

Since the first edition, many things happen, in particular:

  • March 2015: BCBS - IOSCO: margin requirements for non-centrally cleared derivatives and mandatory variation margin
  • July 2017: The future of LIBOR -- actually it would be more correct to say the ``lack of future of LIBOR''.

I will come back to those elements and their relation to the new book. Its introduction may look at the start like a history book, the section titles referring to specific dates.

Those market changes had a significant impact on the book:

  • Chapters' order: The old chapter 8 is now chapter 1. It is not possible anymore to discuss the interest rate derivative market without starting at the collateral question which is mandatory for (almost) all.
  • Title: The title now has an extra word in it: Transition! That may be a detail for you, but for me it means a lot.(1) I have spent a good part of those 10 years understanding the transition. There is now a chapter about it.

New Subject:

Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, Transition, and Implementation

The new version of the Conventions and vanilla instruments appendix will be published on the muRisQ Advisory blog on the page

https://murisq.blogspot.com/p/conventions.html

Some overnight conventions are already available.
Now I need the time to finish that new version.

(1)``C'est peut-être un détail pour vous, Mais pour moi, ça veut dire beaucoup'', lyrics from France Gall song ``Il jouait du piano debout''.

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