no code implementations • 1 Jul 2015 • Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel
Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and H\"artel [2014], and El Karoui et al. [1997], and the long-term simple rate, considered in Brody and Hughston [2016] as long-term discounting rate.