In mathematical finance, the multi-curve framework refers to the use of multiple interest rate curves to price the various fixed income securities and derivatives, based on their characteristics, particularly tenor, but also currency. == Context == Historically interest rate swaps, IRSs, were valued using discount factors derived from the same curve used to forecast the LIBOR (-IBOR) rates for payment (the erstwhile reference rates; see below re MRRs).
In mathematical finance, the multi-curve framework refers to the use of multiple interest rate curves to price the various fixed income securities and derivatives, based on their characteristics, particularly tenor, but also currency. == Context == Historically interest rate swaps, IRSs, were valued using discount factors derived from the same curve used to forecast the LIBOR (-IBOR) rates for payment (the erstwhile reference rates; see below re MRRs).
Source: Wikipedia "Multi-curve framework" · CC BY-SA 4.0
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