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| Author : Fermat Consulting |
| Description : This plug-in implements the Libor Market Model, the market standard to price exotic derivatives.It overcomes some limitation of short rate models, in particular it takes into account quantities that are directly observable in the market and achieves decorrelation between forward rates. This latter is an issue that affects all kind of one factor short rate model. |
| Tags : stochastic process, interest rates |
| Downloads : 918 |
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