The simply compounded spot interest rate, denoted as L(t,T), is the rate prevailing at time t for the maturity T. It is the constant rate at which an investment P(t,T) at time t accrues to yield a unit amount of curency at maturity T  The market LIBOR rates are simply-compunded rates, which is the motivation behind the notation L(t,T). This rates is given as   |
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