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Constructing discount curves under LDTI

ByJosh Dobiac, Bill Matczak, and Jeff Greco
22 April 2020

This white paper examines the process of constructing discount curves in accordance with Long Duration Targeted Improvements, including the criteria that should be used, and assesses the quality of the different algorithms used to build out a complete curve (including interpolation, extrapolation, and smoothing). It also assesses the quality of several curve-fitting approaches by examining the fit to bond data for several historical dates covering a range of market conditions.


About the Author(s)

Josh Dobiac

Bill Matczak

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