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How to generate Foward LIBOR Rate path
Posted: February 6th, 2005, 11:35 pm
by jaccker
who can tell me how to generate Libor rate path under the libor market model?
How to generate Foward LIBOR Rate path
Posted: February 7th, 2005, 8:38 am
by DutchQuant
Very rough overview:First determine the numeraire you want to use.Then determine the drift term (and the volatility, but in first instance you might want to use a determinstic volatility).Then generate the Brownian motion.Then you should be able to generate the paths for the forward rates.
How to generate Foward LIBOR Rate path
Posted: March 7th, 2005, 3:34 pm
by mutley
Apologies for semi-hijacking this thread, but how could one introduce a mean-reversion aspect to the evolution?i.e. I don't want to see some of the evolutions moving off to 10000% for a 70 time period run, or ducking down under 0% for that matter.Does anyone know of any good papers on this subject?Many thanks, James
How to generate Foward LIBOR Rate path
Posted: May 6th, 2008, 9:46 am
by bjeevankumar
can someone briefly explain the discretization part of libor rates with 3 factor Model??I am working on one year libor rates for 10 years.