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LMM_MonteCarlo
  • Classification:Applications - Finance-Stock software system
  • Development Tool:matlab
  • Sise:3.00 KB
  • Upload time:2012/6/15 15:01:31
  • Uploader:aminco
  • Download Statistics:
Description
MATLAB code to perform Monte Carlo simulation for getting price of an European swaption under the Libor Market Model (LMM) framework.




File list:
LMM_MonteCarlo.m
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