Does anyone know an available LIBOR market model implementation in R?
It should not be too sophisticated, as this is a smaller task of a larger work. I am rather thinking about a similar implementation to this MATLAB one:
After having extensively searched on the internet, unfortunately I could not find one in R, to which I am still new, but R is an environment constraint in this case.
I would be more than happy if reinventing the wheel by porting the above code from MATLAB could be avoided. In MATLAB, I have experience, but unfortunately not much in R.
Any help, pointers are highly appreciated. Thank you in advance.
