Abstract
Up to now, we have worked with generic forward curves F X CPN,j (t, u, v) and we have not discussed their implementation. If there were infinitely many market instruments, one for each starting date u — or even better, one for each starting time — the general curve would be a good enough description of the full economy. The market would provide the forward rate for each possible date and the curve description would merely be a data storage and not a data modelling tool.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
Author information
Authors and Affiliations
Copyright information
© 2014 Marc Henrard
About this chapter
Cite this chapter
Henrard, M. (2014). Variation on a Theme. In: Interest Rate Modelling in the Multi-curve Framework. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137374660_3
Download citation
DOI: https://doi.org/10.1057/9781137374660_3
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-47704-3
Online ISBN: 978-1-137-37466-0
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)