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.


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