Download This PaperLibor Timing Adjustments
4 Pages Posted: 4 Nov 2012 Last revised: 24 Aug 2015
Date Written: August 23, 2015
Abstract
We derive a closed form expression for the convexity adjustment to be applied to a Libor coupon with non natural payment time. The model is a two dimensional lognormal model for the Libor rate and a forward rate naturally associated to this rate and the payment time of the coupon. In particular we recover the in arrears fixing adjustment as a special case.
Keywords: convexity adjustment, in arrears fixing, delayed payment
JEL Classification: C00, C60
Suggested Citation: Suggested Citation
Caspers, Peter, Libor Timing Adjustments (August 23, 2015). Available at SSRN: https://ssrn.com/abstract=2170721 or http://dx.doi.org/10.2139/ssrn.2170721
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.