Icon

CMS Option under LIBOR Market Model / Convexity Adjustment

Java Applet

Alternatively you may launch this applet using Java WebStart. Minimum requirements: Java 1.6. Tested with Firefox and Safari. Source code for the underlying library is available at finmath.net.

IMPORTANT: The applet is currently self-signed. Hence it will no longer run under the Java security level "high", which has become default. In order to run the applet, you need to add the domain http://christian-fries.de to the Exception Site List. To edit the Exception Site List open the Java control panel, select the Security tab, then press Edit Site List.

Description

This tool allows to compare the valuation of a CMS option under a LIBOR market model to the analytic valuation using a corresponding convexity adjustment.

It serves as a companion to Mathematical Finance.

© Copyright 2008,2013 Christian P. Fries