LIBOR Market Model
LIBOR Market Model executables are published…
You can download for Windows and Linux ;)
Download links are below…
What is LIBOR Market Model?
The LIBOR Market Model (LMM) is the industry standard model for pricing interest rate derivatives. Based on the Heath-Jarrow-Morton (HJM) forward rate approach, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR.
(Information is copied from http://www.libormarketmodel.com/)
LIBOR Market Model source code is compiled by GCC for Linux and Windows.
for Windows : click here to download the compressed file (ZIP).
for Linux : click here to download the output file.
To learn how to compile source code for Linux, please contact info@farkow.com
To download the source for Windows, please contact info@farkow.com
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GCC Compiler : http://gcc.gnu.org/
LIBOR Market Model Website : http://www.libormarketmodel.com/
