英文标题：
《On multicurve models for the term structure》
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作者：
Laura Morino and Wolfgang J. Ruggaldier
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最新提交年份：
2014
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英文摘要：
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives) with one of the main goals being also that of exhibiting an \"adjustment factor\" when passing from the one-curve to the two-curve setting. The model itself corresponds to short rate modeling where the short rate and a short rate spread are driven by affine factors; this allows for correlation between short rate and short rate spread as well as to exploit the convenient affine structure methodology. We briefly comment also on the calibration of the model parameters, including the correlation factor.
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中文摘要：
在多曲线建模的背景下，我们考虑两条曲线设置，一条用于贴现（OIS掉期曲线），另一条用于生成未来现金流（给定期限的LIBOR）。在此背景下，我们提出了一种FRA和CAP（线性和非线性衍生品）的清洁估值定价方法，其中一个主要目标也是在从一条曲线过渡到两条曲线时显示“调整系数”。该模型本身对应于短期利率建模，其中短期利率和短期利率利差由仿射因素驱动；这使得短期利率和短期利率利差之间存在相关性，并利用方便的仿射结构方法。我们还简要评论了模型参数的校准，包括相关系数。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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