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Strata and multi-curve: Curve calibration and bucketed PV01


Over the last few years, the pricing of vanilla derivatives has become more complex than ever before. This is the result of the basis increases, in particular OIS vs. LIBOR, and the generalisation of Variation and Initial Margins. At the same time, the market has moved to increased standardisation.

CSA Changes: Do You Really Understand the Impact?

The enforcement of Daily Variation Margin (VM) exchange on uncleared derivatives for the majority of counterparties comes into effect within five months. With the March 2017 deadline fast approaching in the US, Canada, and Japan and a number of market participants’ current CSAs being non-compliant (in terms of the March rules), the industry has embarked on a wide-scale CSA renegotiation process. The importance of this cannot be overstated. 

Research papers

  • Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework

    We propose tractable stochastic models for the dynamical estimation of initial margins. We determine initial margins at future points in time by computing a risk measure of the modelled price increment over a margin period of risk. As an example, we produce the initial margin process for interest rate swap clearing where we assume that the swap price process is driven by a two-factor multi-curve interest rate model that exhibits flexibility and good tractability.

  • Forward IM for CCP's

    The objective of Forward Initial Margin calculations is to provide clearing members with an indication of the risk and funding costs associated with cleared trades. The requirement for Forward IM is driven by the realisation that Initial Margin needs to be funded for the entire life of the trade and that, by nature, the Initial Margin calculations account for risk offsets with trades of different maturities that will roll off the portfolio. In this paper, we describe how forward IM for CCP's can be estimated and give examples with different approaches to the forward, and different CCPs.