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Tagged with libor programming
4 questions
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LIBOR Market Model implementation in R
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 ...
- 33
8
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1
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Do you have a validation set for Libor Market Model implementation?
I'm trying to calibrate a Libor Market Model (LMM) in Matlab with my user-defined function, not their package.
I already fitted the market volatilities using SABR but failed to simulate the ...
- 311
2
votes
1
answer
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LIBOR Rates available in CSV, XML etc
Is there a website that offers current LIBOR rates for all tenors for free in machine readable formats?
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