Assume I have implemented a solution of the Libor Market model PDE in terms of the Finite Difference method. What is a good strategy for validating and benchmarking the results of this implementation?
- Against which analytical formula or numerical method can I compare my simulation results?
- Which instruments should be reasonably considered for the validation?
- How to choose the model parameters of the LMM?
I assume there is no definite answer to these questions, so I'd also be interested in your experiences.
