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3 questions
5
votes
1
answer
303
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Forward starting zero-coupon bonds
We trivially have that:
$$\frac{Z(t_0,t_1)}{Z(t_0,t_2)}=1+\tau L(t_0,t_1,t_2)$$
Where $L(t_0,t_1,t_2)$ is the forward Libor between $t_1$ and $t_2$, as of $t_0$.
Simply inverting this relationship ...
- 12.6k
2
votes
1
answer
171
views
Show that the price of a LIBOR rate paid in advance is a linear combination of caplets
Let $L(t, T_1, T_2)$ be the forward LIBOR rate at time $t$ for the period $T_1$ to $T_2$.
If a security pays some multiple of $L(T_1, T_1, T_2)$ at time $T_1$, how can we show that the price of this ...
- 2,561
0
votes
0
answers
83
views
Where to find Caps/Floor historical data?
I'm trying to calibrate the Lognormal Forward Libor Model to market data, in order to calculate market implied volatilities. However, I'm having some troubles finding any Cap/Floor historic price. Not ...
