Calibration of the LIBOR market model - implementation in PREMIA∗
نویسندگان
چکیده
This paper reviews the BGM model for the parameterization of LIBOR forward interest rate curves, and presents a C++ implementation in PREMIA of the calibration algorithm of [7] using the market prices of caps and swaptions in this model.
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تاریخ انتشار 2009