Calculation of the convexity adjustment to the forward rate in the Vašíček model for the forward in-arrears contracts on LIBOR rate (Q5218388)
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scientific article; zbMATH DE number 7176641
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| English | Calculation of the convexity adjustment to the forward rate in the Vašíček model for the forward in-arrears contracts on LIBOR rate |
scientific article; zbMATH DE number 7176641 |
Statements
Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate (English)
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3 March 2020
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convexity adjustment
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forward rate agreement
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Vašíček model
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no-arbitrage market
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in-arrears LIBOR
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iFRA
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0.8114246129989624
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0.7900862693786621
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0.7236984968185425
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0.7211946845054626
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0.7171642780303955
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