Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation. Palgrave Macmillan ISBN 978-1137374653 ↑ See section 3 of Marco Bianchetti and Mattia Carlicchi (2012). Interest Rates after The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR ↑ P. Hagan and G. West (2006).