close
Building Risk-free Rate Curves

Building Risk-free Rate Curves

Since RFRs have replaced LIBOR occurrences, the criticality of these curves has been underscored

In this second episode of a series on MX.3 curve analytics, Murex Market Data Analytics Product Team lead Julien Martinez explores the characteristics of risk-free rate (RFR) curves, like USD SOFR, the world’s most important curve. He also addresses the need for a powerful curve calibration model that can infer upcoming policy rates from SOFR futures quotes.

Watch the first video in this series on MX.3 curve analytics.

You might be interested in ...