Marc Henrard - Multi-curve framework

On Monday and Tuesday I was in Warsaw presenting a workshop related to the content of my soon to be published book " Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, Transition, and Implementation ". In the book's subtitle, there is "Transition". I knew that the Polish market was in a transition phase between WIBOR and POLSTER. Nevertheless, I was surprised that the WIBOR benchmark administrator announced while I was there that WIBOR will cesse to be published on 1 January 2037 (to my knowledge, no casual relation between my presence and the announcement). That is a 10-year period between announcement and actual cessation! That is a world record!!! Congratulation to Poland for that world record. Now you have to live with it! In particular have a look at Section 6.6.4 of my book and my blog posts LIBOR Fallback Transformers - Risk transition , LIBOR fallback transformers - forward discontinuation and LIBOR discontinuation and curve ...

Everybody is familiar with the option exercise mechanism ... expect fictional Belgian lawmakers. A (real) judge once said: "it is not illegal to be smarter than tax collectors". To be precise, what he actually said, was "It is not illegal to be smarter than your counterparties [...]" , but in tax matters, the tax collector is your counterparty. What we explore in this financial fiction blog, is to assess if it is possible to make money out of the ignorance of fictional lawmakers. This is a work of fiction. Characters, places, and events are products of the author’s imagination. Any likeness to real people, living or dead, or actual events is by chance almost everywhere.(1) This blog does not contain any financial or tax advice. The taxation of options is done in the following way: if an option is bought then sold or the opposite, the profit or loss on the buy/sell is taxable. If an option is exercised, the option price is ignored for tax purposes, but the transa...

I’m not a fan of the so-called Artificial Intelligence, which is to my opinion at this stage more like “automated plagiarism” than actual intelligence. Nevertheless I use it from time to time, with limited success. I could not resist to ask the following question: What is the best book to learn about the multi-curve framework? The answer is: The best book to learn about the multi-curve framework is generally considered to be Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation by Marc Henrard. This book is written by one of the "founding fathers" of the framework and is specifically tailored for both academics and practitioners. Why this book is recommended Comprehensive Coverage: The book provides a detailed analysis of the framework's foundations, its evolution post-financial crisis (2007-2013), and implementation. Practical Focus: It describes the issues and provides examples of coherent, production-grade li...