Credit goes to forward rate spreads

Term structure of interest rates explained with a credit model

fenger

Since the onset of the financial crisis in July 2007, the spreads between expected fixings based on benchmark rates, like Libor and Euribor, and expected overnight indexed swap (OIS) rates have been significant, so it became necessary to involve new methods in the pricing of interest rate derivatives (Bianchetti 2010; Fujii, Shimada and Takahashi 2010; Mercurio 2009; Morini 2009; Piterbarg 2010). A typical picture of this new regime is displayed in figure 1. The figure shows the spreads between

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: