LIBOR market model
id:
libor-market-model-203-229467
title:
LIBOR market model
text:
The LIBOR market model, also known as the BGM Model is a financial model of interest rates. It is used for pricing interest rate derivatives, especially exotic derivatives like Bermudan swaptions, ratchet caps and floors, target redemption notes, autocaps, zero coupon swaptions, constant maturity swaps and spread options, among many others. The quantities that are modeled, rather than the short rate or instantaneous forward rates are a set of forward rates, which have the advantage of being dire
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/LIBOR_market_model
date created:
date modified:
2023-01-16T03:06:12Z
main entity:
{"identifier":"Q1225659","url":"https://www.wikidata.org/entity/Q1225659"}
image:
fields total:
13
integrity:
13