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by doni
February 15th, 2021, 9:41 pm
Forum: Student Forum
Topic: RFR Backward-looking in-arrears and Libor in arrears
Replies: 0
Views: 614

RFR Backward-looking in-arrears and Libor in arrears

Hi,  I hope to find somebody here to shed some light onto this topic.  I remember from my studies that in order to properly deal with the Libor rates with fixing in arrears one has to go through some convexity adjustment, taking the volatility of the forward rate into account, as the in-arrears fixi...