Brigo, Damiano; Liinev, Jan - In: Quantitative Finance 5 (2005) 5, pp. 433-442
We consider the distributional difference in forward swap rates from the LIBOR market model (LFM) and the swap market model (LSM), the two fundamental market models for interest-rate derivatives. We explain how the Kullback-Leibler information (KLI) can be used to measure the distance of a given...