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Tim Xiao deposited LIBOR Rate Model in the group
Scholarly Communication on Humanities Commons 1 year, 1 month ago
LIBOR Rate Model is used for pricing Libor-rate based derivative securities. The model is applied, primarily, to value instruments that settle at a Libor-rate reset point. In order to value instruments that settle at points intermediate to Libor resets, we calculate the numeraire value at the settlement time by interpolating the numeraire at bracketing Libor reset points.