• Tim Xiao deposited LIBOR Rate Model in the group Group logo of Scholarly CommunicationScholarly 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.