Questions tagged [spot-rate]

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Riccati Equation in spot rate model

Given that $dr=(\eta-\gamma r)dt+\sqrt{\alpha r+\beta}dW$ Let $Z(r,t)=e^{A(t;T)-rB(t;T)}$, \begin{matrix} \frac{dA}{dt}=\eta B-\frac{1}{2}\beta {{B}^{2}} \\ \frac{dB}{dt}=\frac{1}{2}\alpha {{...
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Physical trading spot transaction analysis-Quantified

ref to my previous question here: Physical commodity trading quantitative risk return model I am currently new to commodities and physical trading. I have currently narrowed down my area of analysis ...
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How to value a long term interest rate swap if the floating leg is USD-LIBOR

To value an IRS, you require a spot/zero curve. If I am correct this zero curve will be the USD-LIBOR curve. However, if you have e.g. a 10-year swap that you are trying to value 2 months into the ...