The multi-curve potential model (Q3460685)
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scientific article; zbMATH DE number 6527661
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The multi-curve potential model |
scientific article; zbMATH DE number 6527661 |
Statements
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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0.8272882103919983
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0.8231131434440613
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0.8172929883003235
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0.8080539703369141
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0.8058056235313416
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