Libor Market Model Adjoint Greeks (LMM)

版本 1.0.0.0 (59.3 KB) 作者: Kienitz Wetterau FinModelling
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
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更新时间 2012/9/25

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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.

引用格式

Kienitz Wetterau FinModelling (2025). Libor Market Model Adjoint Greeks (LMM) (https://ww2.mathworks.cn/matlabcentral/fileexchange/38324-libor-market-model-adjoint-greeks-lmm), MATLAB Central File Exchange. 检索时间: .

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LMM_Adjoint/+IRD/@TrigSwap/

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1.0.0.0