• No results found

Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA

N/A
N/A
Info
Download
Protected

Academic year: 2020

Share "Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA"

Copied!
28
0
0

Loading.... (view fulltext now)

Download now ( 28 Page )

Full text

Figure

Fig. 1 Twenty sample paths of the short rate whenfunction of time (computed over 10 X is the 1D CIR process, together with the mean as a5 paths)
Fig. 2 Twenty sample paths ofthe short rate together with the2.5/97.5 percentiles induced bya diagonal structure and acontinuously differentiableinterpolating function
Fig. 3 The smooth manifoldused for fitting the sequences(uk) and (vk)
Figure 6 depicts the sample path of the VA process using the first interpolat-ing function (left panels) for the five different CSA specifications (top to bottom),
+2

References

Download now ( PDF - 28 Page - 1.60 MB )

Related documents