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Aug 31

Libor Market Model: Theory and Implementation source code

Posted by abiao at 09:43 | Code » C++ | Comments(1) | Reads(21819)
Libor Market Model is a term structure model applied to value and hedge exotic interest rate derivatives. The model is recognized and employed largely because of its consistency with the popular market model, Black's formula. This consistency makes the calibration process easy as the Black's market prices for vanilla interest rate Options can be instantly used as an input.

The purpose of this book -Libor Market Model: Theory and Implementation is to analyze the Libor Market Model in theory and implement it practically to the evaluation of normal caps, barriers, European swaptions and ratchets, etc. The dynamic of the Libor Market Model will be derived and the whole steps of its implementation applying Monte Carlo simulation will be introduced. Implementation is accomplished via several volatility and correlation formulation. Special attention should be given when it comes to calibrate the Libor Market Model and model the forward rate volatilities and correlations since they could impact prices of interest rate derivatives substantially.

you can download the free c course code by leaving your email at http://www.irina-goetsch.com/libor-market-model/app#order
wiki(LIBOR Market Model)

One of the better weblogs I have seen in a while.
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