Yield Curve Builder - an enhancement to Barrie & Hibbert’s Modelling Toolkit
Last updated 29th March 2010 - Barrie & Hibbert have developed a new modelling tool to help you build a complete, continuous yield curve from a set of current market prices, and to extrapolate the yield curve beyond available market data.
Chances are that you already know that the Barrie & Hibbert Economic Scenario Generator (ESG) is a suite of leading-edge stochastic asset modelling tools, used by insurers to undertake a wide range of risk management activities such as:
- assessing group-wide economic and regulatory capital needs
- developing capital management strategies
- pricing complex embedded guarantees and options.
We’ve recently added a further modelling tool to our armoury, one that will help you build a complete, continuous yield curve from a set of current market prices, and to extrapolate the yield curve beyond available market data. The Barrie & Hibbert Yield Curve Builder enables you to do this and more:
- Allows you to determine the right trade-off between accurately matching all available market prices and producing an economically plausible curve. We have developed key rules to ensure you achieve the appropriate balance between a smooth curve and an accurate match to market prices.
- Because long maturity bond prices are relatively insensitive to long maturity forward rates, the Yield Curve Builder includes methods which avoid unwarranted variation in the forward curve around the last market data point.
Find out more about the Yield Curve Builder
If you would like to know more about the ways that Barrie & Hibbert’s ESG and Yield Curve Builder can help you achieve accurate and reliable results, please get in touch with your account manager or contact us at: .(JavaScript must be enabled to view this email address).