File Exchange

image thumbnail

Libor Market Model Adjoint Greeks (LMM)

Adjoint Method for Libor Market Models (Delta, Gamma, Vega)

4 Downloads

Updated 25 Sep 2012

View License

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.

Comments and Ratings (0)

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

LMM_Adjoint/

LMM_Adjoint/+IRD/@BSwap/

LMM_Adjoint/+IRD/@LMMDer/

LMM_Adjoint/+IRD/@TrigSwap/