Overview - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

Thie LIBOR Market Model (LMM) framework, also known as Brace Gatarek Musiela model (BGM) is a financial model of interest rates. The quantities that are modeled are a set of forward rates (also called forward LIBORs) unlike the HJM framework which uses instantaneous forward rates. The main advantage of this model over HJM is that the forward rates are observable in the market and their volatilities are naturally linked to traded contracts. Our implementation is modelled by a lognormal process and solved by Monte-Carlo simulation.