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.
Kienitz Wetterau FinModelling (2022). Libor Market Model Adjoint Greeks (LMM) (https://www.mathworks.com/matlabcentral/fileexchange/38324-libor-market-model-adjoint-greeks-lmm), MATLAB Central File Exchange. Retrieved .
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