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Shape of the Forward Rate Curve under a lognormal LIBOR Model (LIBOR Market Model)

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 analyse the shape of the simulated forward rate curves and the evolution of the fixed libor (which corresponds to the short rate) using a LIBOR market model.

It serves as a companion to Chapter 25 of Mathematical Finance.

© Copyright 2007 Christian P. Fries