Libor Market Model

[matmjm]

Greetings,

I have a paper on my website
http://martingale.berlios.de/Martingale.html

which is detailed description of a Libor Market Model implementation with some
of the theoretical background. This can be downloaded as the file
"LiborProcessPS". It is implemented in Java and can be downloaded as the file
"martingale-9-20-02".

The model does not compute an initial term structure of forward Libors (the
constructor gets that as a parameter) and it does not know about actual dates
and market conventions (the constructor gets a tenor structure as a parameter.

Apart from that it does everything else including calibration to caplets and
swaptions.

I hope this will be of some interest to you.

If you like this I have the same in C++ (actually more sophisticated and
completely selfcontained) which I would be willing to "donate" to your cause
if you can provide me with some market data (swaprates, swaption prices, cap
prices, caplets)
so that I can play around with this.
I would also be willing to help you with my code.
Please let me know if you are interested.

Regards,

MJM