LIBOR Market Model

• April 1st, 2010
• Posted in Development

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 [ READ MORE ]