Download This PaperMarkov 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
Abstract
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
Caspers, Peter, Markov Functional One Factor Interest Rate Model Implementation in QuantLib (April 14, 2013). Available at SSRN: https://ssrn.com/abstract=2183721 or http://dx.doi.org/10.2139/ssrn.2183721
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