Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
We introduce a multiple curve framework that combines tractable dynamics and semianalytic pricing formulas with positive interest rates and basis spreads. Negative rates and positive spreads can also be accommodated in this framework. The dynamics of overnight indexed swap and LIBOR rates are specified following the methodology of the affine …