Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
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We have implemented the Adjoint Method for the Libor Market Model.
We illustrate this for Bermudan swaptions and Trigger swaps. The Greeks we calculate are Delta, Gamma and Vega.
The code is object oriented and described in our book.
Cite As
Kienitz Wetterau FinModelling (2026). Libor Market Model Adjoint Greeks (LMM) (https://uk.mathworks.com/matlabcentral/fileexchange/38324-libor-market-model-adjoint-greeks-lmm), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (59.3 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
