Questions tagged [libor-market-model]
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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 ...
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1answer
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Libor Market Model definitions in Options, Futures & Other Derivatives, Hull 9th Ed, p744
Re: Options, Futures & Other Derivatives, Hull 9th Ed, p744.
What does "m(t)" represent? I am struggling to understand the definition provided of:
"Index for the next reset date at ...
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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 ...
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1answer
277 views
Pricing Swaption Analytically using Libor Market Model
I was asked the following question in a recent interview: "(i) Express a forward swap rate in terms of forward Libor rates. (ii) Apply Ito's lemma to this expression to derive the process for the ...
