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| citizen | Posted on: 2007/11/19 17:39 |
Just popping in ![]() ![]() Joined: 2007/11/19 From: Posts: 1 |
libor market model Hi, i have several questions when i implement the BGM model, I have seen several time the formula (for exemple in the book of Mercurio & Brigo ), it likes
F(T_i;T_k, T_k+1)=F(T_i-1;T_k, T_k+1)*exp(...(v(T_i-1)...) My questions are: 1)If I want to know the libor F(T_i;T_i, T_i+1), F(T_i;T_i+1, T_i+2)... Should I compute all the libor before the time: e.g. F(T_i-1; T_i, T_i+1), F(T_i-1, T_i+1, T_i+2)... F(T_i-2; T_i, T_i+1), F(T_i-2, T_i+1, T_i+2)... ... 2)If the answer of 1) is yes, the input should contain the vol of libor at initial time 0 (v_i(0)) because of F(1;1,2)=F(0;1,2)*exp(..v(0)..), no? In fact, I have the results of calibration to swaption with the BGM model, I don't know if they contain also some v(0) Many thanks for the answer jo |
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