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Quantitative Finance

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  • $\begingroup$ 30 years after studying HJM I see $f_t=(tr_t)'$ for the first time. Is $r_t$ even differentiable? $\endgroup$ Commented Jun 11, 2024 at 9:26
  • $\begingroup$ Here, $r_t$ is the discount curve as a function of $t$, which is usually differentiable $\endgroup$ Commented Jun 25, 2024 at 10:46
  • $\begingroup$ So I should not call it as spot rate proces $\endgroup$ Commented Jun 25, 2024 at 10:55
  • $\begingroup$ I still don't follow. Before we baptize $r_t$ you should come around with a precise definition. "Discount curve" could be anything, from discount factors to their logs and what not. $\endgroup$ Commented Jun 25, 2024 at 11:28