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. I understand that the forward curve above is easy to calibrate to market values that involves LIBOR of tenor $I$, such as swaps. But how can I get $I$-discounting curve (zero coupon curve) from the …
asked Jun 17 '15 by brian kim
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I'm new to the quant finance and have a very basic question about LIBOR curve. LIBOR is published every day for 4 different tenors (1M, 3M, 6M, 1Y), and each rate means how much annual interest … should be paid when leading banks borrow money from another. In my understanding, there should be a unique LIBOR yield curve, in which 1M, 3M, 6M, 1Y point values are the same as the quoted value above …
asked Jun 11 '15 by brian kim