Normal Libor in Arrears

3 Pages Posted: 12 Dec 2012 Last revised: 13 Dec 2012

Date Written: December 10, 2012

Abstract

We derive the in arrears covexity adjustment in a normal black model.

Keywords: In arrears fixing, convexity adjustment, normal black model

JEL Classification: C00

Suggested Citation

Caspers, Peter, Normal Libor in Arrears (December 10, 2012). Available at SSRN: https://ssrn.com/abstract=2188619 or http://dx.doi.org/10.2139/ssrn.2188619

Peter Caspers (Contact Author)

Acadia Inc. ( email )

United States

HOME PAGE: http://acadiasoft.com

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