Scientific Computing For Tomorrow's Market

Interest rates

An interest rate is the rate at which interest is paid by borrowers for the use of money that they borrow from a lender. Specifically, the interest rate (I/m) is a percent of principal (I) paid at some rate (m).

Implemented modules releted to IR models are implemented from the research papers published in top financial conferences like “Bachelier Finance Society World Congress” in recent years.

LIBOR Market Model with Stochastic Basis