Libor时间调整

ERN: Interest Rate Forecasts (Topic) Pub Date : 2015-08-23 DOI:10.2139/ssrn.2170721

P. Caspers

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引用次数: 2

摘要

我们推导了一个封闭形式表达式，用于应用于具有非自然支付时间的Libor息票的凸性调整。该模型是Libor利率和远期利率的二维对数正态模型，远期利率与Libor利率和息票支付时间自然相关。特别是我们追回拖欠固定调整作为一个特殊情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Libor Timing Adjustments

We derive a closed form expression for the convexity adjustment to be applied to a Libor coupon with non natural payment time. The model is a two dimensional lognormal model for the Libor rate and a forward rate naturally associated to this rate and the payment time of the coupon. In particular we recover the in arrears fixing adjustment as a special case.

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来源期刊

ERN: Interest Rate Forecasts (Topic)

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