ExerciseBoundary. More details.
Java source code can be downloaded
libor-0.4.tar.gz. This will create the directory
libor-0.4containing the entire distribution. Please don't delete any subdirectories even if they are empty - they will be filled during installation.
srcto the project. For compilation with g++ you need to set the include path with
and link with
Set the environment variable
DEV_ROOT to point to the directory
Now move into the directory
libor-0.4 and type
make. This may or may not work on your system.
If it works everything is built and installed in subdirectories of
The object files are in
obj and libraries (examples, martingale) are in the directory
lib. An executable
main is in
This is the Libor calibration example in dimension 50 with input files
(prices generated in a predictor-corrector (PC) Libor Market Model of dimension 50 with M-vol-surface and JR-correlations)
and can be executed once we have pointed
LD_LIBRARY_PATH to the
This program must be executed from the top level directory ($DEV_ROOT) by typing
otherwise it will not find the input files.
The program calibrates a driftless LMM in dimension 50 with Jaeckel-Rebonato (JR) vol-surface
and Coffee-Shoenmakers (CS) correlations to the input prices. During execution it reports the current minimum
of the calibration error (objective function). The output files
are in the the top level directory and report the relative calibration error for each instrument in %
(caplet prices being reproduced exactly).
You can then run other examples and test programs from
main.cc by uncommenting
the respective function calls and include directives and recompiling with
in the top level directory ($DEV_ROOT). The file
main.cc is in
make docsin the top level directory generates the doxygen html documentation. The entry point is
$(DEV_ROOT)/doc/Index.html. Of course this assumes that you have
doxygeninstalled on your system.
Michael J Meyer (firstname.lastname@example.org)