Calypso Learning Services

• Calypso’s Multicurve Feature is used to generate two curves simultaneously.
• Calypso’s Multicurve Feature is constructed from the same instruments used in other zero curves.
• Calypso’s Multicurve Features generated are used in pricing (independently).

This eLearning is an overview of how to set up and use Multicurve Packages. Note that Multicurve packages use the same framework as zero curves (instruments, quotes). The difference is in the algorithm which considers dependencies between the curves.