Download This PaperNormal 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: 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
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