LIBOR fallback and question marks!

Summary of a recent quanty discussion about LIBOR fallback.

How to price a LIBOR payment with the current fallback:

Estimate the expectation of the discounted values of question marks.


How to price a LIBOR payment with the planned new fallback:

Estimate the expectation of the discounted values of the median of future values of question marks strongly impacted by market misestimations.

No doubt, we are making good progress!

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