LIBOR Market Model: Best-Estimate Calibration
Document ID: 2005-338 (previously 2005/002)
Published on: 1st March 2005
Author: Keith Feldman, Steven Morrison
In this note, the Libor Market Model (LMM) calibration for best-estimate projection purposes in the Barrie& Hibbert ESG is introduced. The LMM calibration presented in this note is a suitable alternative to B&H’s existing best-estimate calibration of the 2FBK model, with the added advantage of allowing an exact fit to the initial yield curve.
