THE MULTI-CURVE POTENTIAL MODEL (Q3460685): Difference between revisions

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Latest revision as of 09:27, 30 July 2024

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THE MULTI-CURVE POTENTIAL MODEL
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    THE MULTI-CURVE POTENTIAL MODEL (English)
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    8 January 2016
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    multi-curve models
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    potential approach
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    state-price deflator
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    foreign exchange rates
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    rational lognormal model
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    OIS
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    LIBOR
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    FRA rate
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    FRA spread
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    LIBOR-OIS spread
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