A Multicurve Cross-Currency LIBOR Market Model

Table 1

Descriptive Statistics of the Data.

Data	Mean	Std. Dev
ON GBP LIBOR	0.69903	0.00296
3M GBP LIBOR	0.80070	0.00201
ON USD LIBOR	1.98410	0.11364
3M USD LIBOR	2.36071	0.03181
GBP/USD FX Rate	0.76606	0.00596