The numeraire in the Swap Market Model (SMM) is
A) The price of the longest maturity bond (i.e., the numeraire under forward measure) .
B) The total of discount functions to the longest swap maturity.
C) The money market account.
D) The value of the fixed side of the swap.
Correct Answer:
Verified
Q10: Consider a one-factor HJM model where
Q11: Consider a one-factor HJM model where
Q12: The HJM model is implemented by depicting
Q13: Consider a two-factor HJM model where
Q14: Consider a one-factor HJM model where
Q15: Consider a one-factor HJM model where
Q16: Swap rates in the SMM are, under
Q18: Which of the following is not a
Q19: Consider a two-factor HJM model where
Q20: Which of the following is not necessarily
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