Path dependent interest rate instruments?

[Giorgio Pazmandi]

Dear All,

I'm going to deal with IR Path Dependent instruments (like TARN, Snowball
ecc).

Has anybody developed or tested some of this instruments?

For my test purpouse it would be enough using LiborModel and HW1 Factor (or
2factors) models.

Thank you for your reply and example you would send me.

Giorgio

[Luigi Ballabio]

On Jul 12, 2006, at 10:47 AM, Giorgio Pazmandi wrote:
> I'm going to deal with IR Path Dependent instruments (like TARN,
> Snowball
> ecc).
>
> Has anybody developed or tested some of this instruments?

Not the instruments themselves. However, an implementation of the Libor
market model is available and another one is underway. You might try
starting from this.

Later,
        Luigi