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Does the link below help? It's free and has daily 3 month rates. https://fred.stlouisfed.org/search?st=Libor+3+month+daily


4

Real rate = Money Market Rate - CPI Approximately. As I do want to be exact (thanks, @noob2): $(1+real)=\frac{1+MMR}{1+CPI}$


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It depends what type of interest rate model you are using. If rates are normally distributed, the situation should be as you describe, so there should be minimal exposure to implied volatility. If rates are lognormally distributed, the higher strike option has greater time value, and has a greater volatility exposure, than the lower strike option, hence ...


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Yes, in general it is. If you take a look at the banks that contribute to the Libor you'll see why: Bank of America Bank of Tokyo-Mitsubishi UFJ Barclays Bank BNP Paribas Citibank NA Credit Agricole CIB Credit Suisse Deutsche Bank HSBC JP Morgan Chase Lloyds Banking Group Rabobank Royal Bank of Canada Société Générale Sumitomo Mitsui Banking ...


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It depends on the purpose for which you want to use LIBOR. If you want to use it as a measure of risk free rate, then it is not a good idea, because it included premiums for interbank lending credit risk and liquidity risk. You should use the rate on short term US treasuries for risk free rate (again it depends on the duration of your model). You can also ...


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Given the Ho-Lee interest rate model of the form \begin{align*} dr_t = \theta_t dt + \sigma dW_t, \end{align*} the price at time $t>0$ of a zero-coupon bond, with maturity $T$ and unit face, has the form \begin{align*} B(t, T) &=E\Big(e^{-\int_t^T r_s ds} \mid r_t \Big)\\ &=e^{-(T-t)r_t - \int_t^T (T-u)\theta_u du + \frac{\sigma^2}{6}(T-t)^3}. \...


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If you owe money to the bank, you will not receive a compensation. It might not exactly correspond to what you want, but here is my understanding. If we refer to the origin of the rates formation, you see two rates. e.g : https://www.ecb.europa.eu/mopo/implement/sf/html/index.en.html the marginal lending rate this one cannot be negative, ECB will not ...


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There's nothing wrong with your formulation, in my opinion. If you model the rate z_30 with a fixed mean, then indeed the forward ZCB price is long vega. This means that the forward interest rate is short vega (i.e. the 30yr into 10yr forward rate goes down when vol goes up). This is self-consistent. In most textbooks, however, the forward interest ...


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Humm....you must miss some hypothesis. Assuming $\alpha>0,\beta>0$, you can without loss of generality set $\alpha=1$. (since $\frac{r}{\alpha}$ and $\frac{V}{\alpha^2}$ being positively correlated is the same as $r$ and $V$ positively correlated) now, positive correlation is equivalent to positive covariance. Working with covariance and above ...



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