This pap er intro duces a general framework for market mo dels, namedM arket M o del Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by showing that a set is admissible if and only ifthe...

Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of...