CapeTools LMM Processes

General Description

Functions to construct Libor Market Model simulation process objects.

Given Libor Libor Market Model volatility and correlation specification objects (see CapeTools EngineOptions), creates a Libor Forward Market Simulation Process object to be used within the CapeTools LMM Process Simulation or CapeTools Generic IR LMM MonteCarlo Pricer category of functions.

Volatility and correlation specification objects can be produced via a call to any of the appropriate functions within the CapeTools LMM Volatility/Correlation Models category of functions.

Within the LMMSimProcess function, you can set the number of simulations to zero (0). In this case no simulations will be generated, but you can request a new simulation path from this object by executing the LMMNextPath function. This will return a 2 column array of rates and discount factors. You can also perform generic montecarlo pricing via the GenericLMM_MCPricer function.