Fairmat repository1.9
Version date03.12.2014
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Libor Market Model

License: Free
Author: Fairmat srl

This plug-in implements the Libor Market Model, also know as BGM model, the industry standard for pricing exotic derivatives. The LMM overcomes some if the limitations 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: 1151