LMM Pricer / Blog: Recent posts

LMM Pricer is some software I'm working on as part of two class projects for my senior year here at JHU. The goal is to have a fast, easy-to-use, LIBOR Market Model implementation to price various non-vanilla interest-rate derivatives.

The current version (0.1) is pretty useless, admittedly. It generates sample paths but cannot plot them as of yet and is a bit slow. The GPU/CUDA code is also pretty-much worthless right now since the CPU code outperforms it by a factor of about 100x. I'm hard at work on version 0.2 which will correct (hopefully correct) most of this and actually provide some pricing tools.... read more