python implementation of forward rate modeling
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Updated
May 7, 2019 - Python
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libor
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Bermudan Receiver Swaption pricing using the Libor Market Model (LMM) under the spot measure, with Andersen (1999) primal-dual algorithm for optimal exercise boundaries. EPFL Advanced Derivatives project.
epfl monte-carlo quantitative-finance swaptions libor derivatives-pricing andersen interest-rate-derivatives
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Updated
May 9, 2026 - Jupyter Notebook
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