论文标题
替代无风险费率的仿期模型中的胶囊定价
Caplet pricing in affine models for alternative risk-free rates
论文作者
论文摘要
替代无风险利率（RFRS）在利率基准改革中起着核心作用。我们研究由一般仿射过程驱动的RFR的模型。在最少的假设下，我们为前瞻性和向后外观的帽子/地板，术语囊帽以及1个月和3个月的RFR Futures Futures合同提供了明确的估值公式。
Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks. We study a model for RFRs driven by a general affine process. Under minimal assumptions, we derive explicit valuation formulas for forward-looking and backward-looking caplets/floorlets, term-basis caplets as well as 1-month and 3-month RFR futures contracts.
