Package description: Examples.Libor

All programs set up a sample Libor process with initial term structure L_j(0)=0.04, annualized forward Libor volatilities of about 0.39 for all Libors and correlations following ideas of B. Coffey and J. Schoenmakers.

Based on this process we then plot zero coupon bond paths, Libor paths and paths of both log-normal approximations X0,X1 (see document LiborProcess.ps) to see how well the approximations track true Libor, compute histograms of the error with which the log-normal approximations approximate true Libor at fixed points in time and finally plot a curve of the time it takes to compute 10,000 full Libor paths in the dimensions n=10,20,...,60.