Libor
Implementation of the Libor Market Model (LMM) with deterministic forward Libor volatilities and constant correlations and some basic Libor derivatives. The theory behind the LMM cannot be adequately represented in the javadoc format. The document LiborProcess.ps contains all the details.
This implementation is intended to be used for theoretical investigations and cannot in its present form be used for the actual pricing of Libor derivatives. There is no routine which builds an initial term structure of forward Libors or which extracts a tenor structure from actual dates and market conventions. You will have to supply these if you want to use the model in this way:
Warning: This code is fragile and has not nearly been tested enough. It is intended to provide an infrastructure for users to run their own experiments and supply them with ideas and examples. The target audience are programmers interested enough to read the source code and run tests. One hopes that a bug manifests itself by a simple crash. But what if it is more subtle resulting in a pricing error? Note the complete lack of warranty governing this package.