Package Examples.Libor

Package description: Examples.Libor


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 log-normal approximations L0_j(T_j) and L1_j(T_j) approximate true Libor L_j(T_j).
PathTiming Computes 10000 full Libor paths (X-Libor only) in dimensions n=10,20,...,80 and plots the time taken for each run.

Package Examples.Libor Description

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 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.