Abstract
We start this chapter with a description of some of the one-curve framework pricing formulas. They are important from an historical point of view but also because they explain the evolution of the multi-curve framework, and where its formulas and definitions come from. Chapter 3 proposes different implementations of the framework described here.
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© 2014 Marc Henrard
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Henrard, M. (2014). The Multi-curve Framework Foundations. In: Interest Rate Modelling in the Multi-curve Framework. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137374660_2
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DOI: https://doi.org/10.1057/9781137374660_2
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-47704-3
Online ISBN: 978-1-137-37466-0
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