Discount and Forward Interest Rate Curves

Abstract

As we saw in previous chapters, the interest rate curve constructed from LIBOR instruments no longer is very useful for estimating value in modern financial settings. Initially, the events of 2007, when the markets changed their operation, led to much confusion. Many banks were slow to change their systems, but some moved faster. Those that moved faster gained an advantage, and slowly other banks began to see the importance of changing their view of the world of interest rates.