Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

We introduce a new calibration methodology that allows perfect fitting of the displaced diffusion LIBOR market model to caplets and co-terminal swaptions, whilst avoiding global optimizations. The approach works by regarding a forward rate as a difference of swap-rates and then bootstrapping through rates one by one

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Year of publication:	[2014]
Authors:	Ametrano, Ferdinando M.
Other Persons:	Joshi, Mark S. (contributor)
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Notes:	In: Quantitative Finance, vol. 11 (4), pp.547 - 558 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 12, 2008 erstellt
Other identifiers:	10.2139/ssrn.1092665 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012709122