Subject: LMM. Caplet price dependence on initial numeraire value.

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Subject: LMM. Caplet price dependence on initial numeraire value.

Mark joshi-2
This behaviour is intentional. The initial numeraire value specifies the discount factor for
the time at which the bond for the numeraire matures.

regards

Mark


--

Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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