Taming the Yield Curve

Build Better Curves Using Today's Market Data

The construction of accurate yield curves is critical for accurate derivatives valuation.

Unprecedented volatility and the loss of liquidity in some markets have resulted in interest rate curve anomalies due to market data that deviates from the norm. This in turn has affected the value of some derivative positions.

Join us for a 30-minute webinar to learn about proper curve construction, understand what has caused unexpected derivative values, and we'll show you a solution to address the problem and get accurate values.

You will learn:

The basics of curve construction using FINCAD
An explanation of curve anomalies caused by market conditions (compared to historical dates) that are causing incorrect valuations
A demonstration of how to get more accurate values for your derivative positions using a new FINCAD workbook that addresses the basis spread adjustment required

Presenters

Gurpreet Banwait,
Product Manager

Joe Lai,
Derivatives Analyst

Lisa Hamazaki,
Marketing

Download presentation slides or view Q & A from attendees.