Libor Market Model Adjoint Greeks (LMM)

Versión 1.0.0.0 (59,3 KB) por Kienitz Wetterau FinModelling
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
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Actualizado 25 sep 2012

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We have implemented the Adjoint Method for the Libor Market Model.
We illustrate this for Bermudan swaptions and Trigger swaps. The Greeks we calculate are Delta, Gamma and Vega.

The code is object oriented and described in our book.

Citar como

Kienitz Wetterau FinModelling (2024). Libor Market Model Adjoint Greeks (LMM) (https://www.mathworks.com/matlabcentral/fileexchange/38324-libor-market-model-adjoint-greeks-lmm), MATLAB Central File Exchange. Recuperado .

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Se creó con R2012a
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LMM_Adjoint/

LMM_Adjoint/+IRD/@BSwap/

LMM_Adjoint/+IRD/@LMMDer/

LMM_Adjoint/+IRD/@TrigSwap/

Versión Publicado Notas de la versión
1.0.0.0