Multi-curve framework

Japanese

マルチカーブ

Last reviewed

September 24, 2026

This is a draft, shown for review before publication.

The multi-curve framework is the approach of valuing interest rate swaps and similar instruments with separate curves for discounting future cash flows and for projecting floating rates, using a different projection curve for each reference rate and tenor. For collateralized trades, the discount curve is an OIS curve that matches the interest paid on the collateral.