Libor Market Model Adjoint Greeks (LMM)

Version 1.0.0.0 (59.3 KB) by Kienitz Wetterau FinModelling
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
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Updated 25 Sep 2012

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We have implemented the Adjoint Method for the Libor Market Model.
We illustrate this for Bermudan swaptions and Trigger swaps. The Greeks we calculate are Delta, Gamma and Vega.

The code is object oriented and described in our book.

Cite As

Kienitz Wetterau FinModelling (2024). Libor Market Model Adjoint Greeks (LMM) (https://www.mathworks.com/matlabcentral/fileexchange/38324-libor-market-model-adjoint-greeks-lmm), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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LMM_Adjoint/

LMM_Adjoint/+IRD/@BSwap/

LMM_Adjoint/+IRD/@LMMDer/

LMM_Adjoint/+IRD/@TrigSwap/

Version Published Release Notes
1.0.0.0