QuoteOriginally posted by: jzw123Do you have some concrete examples I can look at? Or any good web sites?There are certainly a lot of articles you can look at. An early list isAmetrano, Ferdinando and Bianchetti, Marco, "Bootstrapping the illiquidity: multiple yield curves construction for market coherent forward rates estimation", Working paper, Banca IMI/Banca IntesaSanpaolo, 2009. (Also MODELING INTEREST RATES, Fabio Mercurio, ed., Risk Books, Incisive Media) http://ssrn.com/abstract=1371311Bianchetti
, Marco, "Two curves, one price: pricing and hedging interest rate derivatives decoupling forwarding and discounting yield curves, Banca Intesa San Paolo, 2009. http://ssrn.com/abstract=1334356Chibane
, Messaoud and Sheldon, Guy, "Building curves on a good basis", Shinsei Bank, 2009. http://ssrn.com/abstract=1394267Henrard
, Marc, "The Irony in the Derivatives Discounting Part II: The Crisis ", SSRN 2009. http://ssrn.com/abstract=1433022
and Wilmott Journal, Vol. 2, pp. 301-316, 2010Kijima, Masaaki and Tanaka, Keiichi and Wong, Tony, A multi-quality model of interest rates, Quantitative Finance, March 2009, 133--145.Mercurio, Fabio, "Interest Rates and The Credit Crunch: New Formulas and Market Models", Bloomberg Financial Markets (BFM), 2009. http://ssrn.com/abstract=1332205Morini
, M., "Credit modelling after the subprime crisis, Working paper, 2009There are also some good open source libraries that implement those approaches. I don't know if you just want to build one example or need to develop a full system for a bank/hedge fund/fund manager.