A Multicurve Cross-Currency LIBOR Market Model

<table class="fixed-width table-group" id="tab8"><tr><td><table class="table"><colgroup><col style="width:9.50em"/><col style="width:5.67em"/></colgroup><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr class="thead"><td class="align_left">Simulated Dataset </td><td class="align_center">MAPE (%)</td></tr><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr><td class="align_left">ON USD LIBOR</td><td class="align_center">7.7663</td></tr><tr><td class="align_left">3M USD LIBOR</td><td class="align_center">3.1415</td></tr><tr><td class="align_left">ON GBP LIBOR</td><td class="align_center">6.8195</td></tr><tr><td class="align_left">3M GBP LIBOR</td><td class="align_center">1.9917</td></tr><tr><td class="align_left">GBP/USD FX RATE</td><td class="align_center">1.7604</td></tr><tr class="table-tr"><td colspan="2"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Mean Error Test Results of the Simulated Models.</div>

Journal of Applied Mathematics

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Table 8

Table 8: A Multicurve Cross-Currency LIBOR Market Model 