This module is developed from the paper titled ‘LIBOR Market Model with Stochastic
Basis’ presented in Quant USA on June
2010. The respected author of this publication is Fabio Mercurio
This paper extends the LIBOR market model to accommodate the new market practice
of using different forward and discount curves in the pricing of interest-rate derivatives.
This extension is based on modeling the joint evolution of forward rates belonging
to the discount curve and corresponding spreads with FRA rates. price.