Download von LMM.cu (LMM.cu ( externer Link: SourceForge.net): 17,930 Bytes) wird in Kürze beginnen. Wenn nicht, klicke auf LMM.cu ( externer Link: SourceForge.net).
NOTE: Only Version 0.1 is up. It's basically an Alpha version - not particularly useful but the code could be useful for others working on similar projects. Version 0.2 is coming soon.
A library and Excel Spreadsheet for generating LIBOR Market Model sample paths and valuing various non-vanilla interest-rate derivatives using the LMM.
