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

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

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

Peter Caspers (Contact Author)

Quaternion Risk Management ( email )

54 Fitzwilliam Square North
Dublin, D02X308
Ireland

HOME PAGE: http://www.quaternion.com

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