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the model
calibration
- The model calibrates easily to the curve of forward rates at time zero.
- It can be calibrated exactly to observed caplet volatilities.
- Alternatively, it can be calibrated to swaption volatilities using the Hull-White methodology.
- The calibration process is straightforward and very fast.
Please feel free to browse the site and learn more about the
LMM and our new approach to the model. If you have any questions
or would like us to help you implement a solution or training
then please contact us by filling in the form
here.
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