Tagged Questions
5
votes
3answers
665 views
Why would a 6M LIBOR rate be significantly above 3M LIBOR, ED futures and swap rates?
Just was just looking at the various interest rates and noticed this:
...
13
votes
2answers
570 views
Why isn't the Nelson-Siegel model arbitrage-free?
Assume $X_t$ is a multivariate Ornstein-Uhlenbeck process, i.e.
$$dX_t=\sigma dB_t-AX_tdt$$
and the spot interest rate evolves by the following equation:
$$r_t=a+b\cdot X_t.$$
After solving for $X_t$ ...
