Current Issues
The TAP will maintain a list of issues compiled from input from B&H's own analysts, users of B&H calibration services and panel members.
The TAP will discuss and document priorities assigned to resolution of issues.
Live Issues
| Description | Status |
|---|---|
Yield curve extrapolation: consistency between swap and government curve |
Work-in-progress Q2/2010 |
Real-rate and inflation calibration |
Work-in-progress Q2/2010 |
Swaption calibration methodologies |
Exposure Draft Q1/2010 |