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Showing posts with label
OIS-adjusted Libor forward rates
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Showing posts with label
OIS-adjusted Libor forward rates
.
Show all posts
Tuesday, June 5, 2018
QuantLib : Dual-Curve Bootstrapping and Swap Valuation
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Implementing OIS curve bootstrapping in QuantLib was presented in my previous post . Story will continue. This post will present, how to im...
Saturday, June 4, 2016
Excel/VBA : Optimizing smooth OIS-adjusted Libor forward curve using Solver
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Optimization for Libor forward curve has been presented in this blog post. This time, we will adjust the presented optimization procedure ...
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