Decameron Technologies Case Study: Applications for Life Insurance Companies
This note discusses particular advantages of the Decameron yield curve system as relates to the portfolios of insurance companies and other asset managers with long maturity exposure.
The Evolution of Sovereign and Swap Yield Curve Construction
This paper discusses what we mean when we say “Yield Curve” for various asset classes, and the techniques and approaches used for modeling such concepts.
General Principles of Decameron Technologies’ Model Construction
This note serves as an introduction to Decameron fixed income models and presents an overview of the intuition that underlies these models. Details of how this intuition translates into the actual practice of constructing models will be taken up in subsequent papers.