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Results tagged with market-model
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user 18388
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Normal Libor Market Model
Yes I used one in the early 2000s. At the time, US interest rates were quite high (5 or 6pct) and the market skew was such that -100bp receivers were more expensive than +100 payers. The lognormal m …
- 17.9k
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"Standard" Model for Effective Fed Funds Rate
In practice, most derivatives traded on Fed Funds rates are linear(i.e. Forwards) rather than non-linear (options and exotics). As such, there has not been a strong case for precise modeling of the f …
- 17.9k
1
vote
Valuation of open FX-Forward
To answer your answer: Suppose you are the holder of the open contract. You hedge it by executing a vanilla forward at 1.1679 for date 92. You now have an arbitrage, for if the fx forward for one …
- 17.9k