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the model
pricing derivatives
- The model can be employed to price any derivative that depends on the term structure of interest rates.
- The derivative pricing is in a separate module. Therefore, the LIBOR rates, bond prices, swap rates and probabilities can be pre-computed.
- Derivative pricing is therefore extremely fast and accurate.
- Examples are European-style swaptions and Bermudan-style 'fixed-tail' swaptions.
Please feel free to browse the site and learn more about the
LMM and our new approach to the model. If you have any questions
or would like us to help you implement a solution or training
then please contact us by filling in the form
here.
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