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Examples.Libor
See:
Description
Class Summary  
BondPaths  Opens a window, allocates a Libor Process of dimension n=60
with quarterly compounding and then displays zero coupon bond paths with
300 time steps to maturity. 
LiborPaths  Opens a window and allocates a Libor Process of dimension
n=100 with time steps delta_j=0.25 . 
LogNormalLibor  Computes histograms of the errors with which the lognormal approximations
L0_j(T_j) and L1_j(T_j) approximate true Libor
L_j(T_j) . 
PathTiming  Computes 10000 full Libor paths (XLibor only) in dimensions
n=10,20,...,80 and plots the time taken for each run. 
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 lognormal approximations X0,X1
(see document
LiborProcess.ps) to see how well the approximations track true Libor,
compute histograms of the error with which the lognormal 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
.


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