Markov Functional One Factor Interest Rate Model Implementation in QuantLib
16 Pages Posted: 2 Dec 2012 Last revised: 21 Apr 2013
Date Written: April 14, 2013
We describe the implementation of a Markov functional one factor interest rate model in the QuantLib framework.
Keywords: Markov functional model, Interest rate model, Exotic interest rate derivative, Pricing
JEL Classification: C00
Suggested Citation: Suggested Citation