Libor 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

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

Peter Caspers (Contact Author)

Acadia Inc. ( email )

United States

HOME PAGE: http://acadiasoft.com

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