NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform

In this PowerPoint presentation we give an overview of yield curves, show how they are modelled and calibrated and give a brief overview of LIBOR reform.Firstly we explain how to calibrate curves to imply forward rates & discount factors. Secondly, we outline the interpolation, optimization and solving process; showing how to calibrate curves in such a way to capture the necessary risk metrics required to compute analytical risk and rebuild curves for ultra-fast performance. Thirdly we give an outline of the LIBOR reform to ARR benchmarks and explain the new features of ARR yield curves. We conclude with a step-by-step tutorial using an Excel workbook to demonstrate how to calibrate a yield curve, price swaps and compute real-time bucketed risk analytically