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LIBOR Rate Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Scholarly Communication
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- libor rate model, LIBOR Market Model
- Permanent URL:
- https://doi.org/10.17613/2zqy-0e63
- Abstract:
- LIBOR Rate Model is used for pricing Libor-rate based derivative securities. The model is applied, primarily, to value instruments that settle at a Libor-rate reset point. In order to value instruments that settle at points intermediate to Libor resets, we calculate the numeraire value at the settlement time by interpolating the numeraire at bracketing Libor reset points.
- Notes:
- https://finpricing.com/lib/EqCallable.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
liborswapmodel.pdf