Starting References for Multiple Interest Rate Curve Construction

Summary

The document is a request for introductory resources on constructing multiple interest rate curves. The topics of interest include simultaneous curve bootstrapping, how a swap’s risk is distributed across curves, and how curve frameworks account for collateral, netting, and forward settlement. The replies recommend implementation-oriented and modeling references rather than explaining the construction steps directly.

The suggestions include an OpenGamma white paper on multiple curve construction, a chapter in the first volume of Andersen and Piterbarg’s interest rate modeling text, and a research paper by Fujii, Shimada, and Takahashi on swap curves with and without collateral. These recommendations indicate useful starting points for practical implementation and collateral-sensitive curve modeling, but the document summarizes none of their methods or evidence. Readers seeking procedures, risk decompositions, or specific collateral conventions must consult the cited works and assess which assumptions match their application.

Key ideas

• Multiple curve frameworks require constructing more than one interest rate curve, potentially through linked calibration steps.
• The document identifies simultaneous bootstrapping, swap risk allocation, and collateral conventions as learning topics.
• It recommends an implementation-focused white paper and an interest rate modeling textbook chapter.
• It also points to research on swap curve construction with and without collateral.
• The document provides references rather than explaining or validating a specific construction method.

Tags

# Introduction to Multiple Curve construction


# Introduction to Multiple Curve construction












Could someone please share a good starting point to learn about Multiple curves? More than exact theorems and proofs, I am mainly interested in reading about -

- How to build multiple curves - how to bootstrap simultaneously etc

- For a given swap trade, how will my risk look like on these curves.

- How should the curves handle different combinations of collateral/netting, forward settle etc.

The closest I got by searching on forums was here, but I'm looking for something more specific.

## Answer by Helin (score 4, accepted)

https://quant.stackexchange.com/a/19220

I've always enjoyed OpenGamma's white paper: MULTIPLE CURVE CONSTRUCTION. It's a solid starting point from an implementation perspective.

Andersen & Piterbarg's "Interest Rate Modeling" (Volume 1) also has a good chapter on this topic that's pretty easy to follow.

## Answer by Daneel Olivaw (score 0)

https://quant.stackexchange.com/a/54183

I believe the seminal reference in this matter is:

> Masaaki Fujii, Yasufumi Shimada & Akihiko Takahashi (2009). "A note on construction of multiple swap curves with and without collateral". FSA Research Review, Vol. 6, 2010.

I think it gives a good understanding on how to proceed.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.