Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction ...

Some academically oriented readers may get a bit upset at this statement, but most financial derivatives pricing in practice comes down to this basic formula. The net present value (NPV) of a ...

The London Interbank Offered Rate, a floating-rate index used by many municipal market participants, jumped dramatically last week amid claims the banks reporting the rate were artificially providing ...

NEW YORK, May 19 (Reuters) - Lenders are guarding against low interest rates in the US and negative rates in Europe and Asia by introducing zero Libor limits to investment-grade loans for their ...

At Risk.net‘s Libor Virtual Week, the UK Financial Conduct Authority’s (FCA’s) head of markets policy, Edwin Schooling Latter, reminded us that, under the supplement, any announcement of Libor ...

The late U.S. economist Thorstein Veblen once said that necessity is the mother of invention. Perhaps if he had been a municipal analyst, he would have said that a flat yield curve is the father of ...

This content is provided by an external author without editing by Finextra. It expresses the views and opinions of the author. Numerix CrossAsset’s cutting-edge multi-curve framework, which provides ...

LONDON, Oct (Shenzhen: 000069.SZ - news) 24 (IFR) - CurveGlobal, the London Stock Exchange Group's fixed income derivatives platform, plans to launch futures contracts referencing the Sterling ...

The convergence between LIBOR and CD rates is now clearly taking place. This is good news in terms of transparency because CD rate averages are easily available, leaving little room for manipulation.

As the end of LIBOR dawns, it is useful and interesting, to look at its birth. LIBOR was born on January 1, 1986. Its mother was the British Bankers’ Association (BBA), father the Eurodollar market ...

Last week, for the first time since February 2008, the LIBOR curve inverted. The 3-month tenor has been on the move downward for some time. The 1-month rate has been gentler in its slope. Last ...