I'm trying to implement an LMM-MultiCurve for caplet pricing following the analytical formula mentioned in this article (pg 20):
However, I didn't get the same results. I think my error comes from the lack of understanding regarding the evolution of LIBOR rate and its tenor structure.
Could anyone give me some insight about it ?
For example a Caplet with Expiry of 3year with tenor = 0.5 has to be priced (following the analytical formula) with the LIBOR rate L(0,2.5,3). Am I getting it right ?
Many thanks for your help.