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Fone
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Joined: July 27th, 2013, 7:34 pm

MatLab code for the LIBOR Market Model needed

August 1st, 2013, 3:21 pm

Hi all,is someone willing to share his/her implementation of the LIBOR Market model in MatLab?I am particularly interested in a complete implementation from the calibration to the valuation of either CMS, Ratchet Caps or Bermudan Swaptions.It's for academic purpose (Bachelor Thesis).Thank you very much for your help.Kind regards,Fone
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

MatLab code for the LIBOR Market Model needed

August 1st, 2013, 4:04 pm

If it's for your thesis shouldn't you be building it yourself, isn't that the most important part of such a project?If not and the project is just about using the model then it's in the financial toolbox:http://www.mathworks.co.uk/help/fininst ... ion-1.html
 
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Cuchulainn
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MatLab code for the LIBOR Market Model needed

August 3rd, 2013, 10:04 am

QuoteOriginally posted by: HansiIf it's for your thesis shouldn't you be building it yourself, isn't that the most important part of such a project?Indeed! For example, how can an (external) adviser grade such a thesis if the student has not progammed it himself? What's the added value of a thesis in such cases? More fundamentally, what's the goal of a thesis in the first place?
Last edited by Cuchulainn on August 2nd, 2013, 10:00 pm, edited 1 time in total.
вот мой дорогой двоюродный брат
 
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Polter
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MatLab code for the LIBOR Market Model needed

August 3rd, 2013, 1:23 pm

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: HansiIf it's for your thesis shouldn't you be building it yourself, isn't that the most important part of such a project?Indeed! For example, how can an (external) adviser grade such a thesis if the student has not progammed it himself? Should be simple? Fail the student and initiate formal plagiarism procedures?// Unless "use this black box to spit out some numbers and fill some pages talking about your experiences and feelings" really is the standard for whatever university/department this is :S
 
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Hansi
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MatLab code for the LIBOR Market Model needed

August 3rd, 2013, 2:03 pm

Well it's a "Bachelor Thesis", never heard of such a thing. We only did courses for my BSc in Financial Engineering but using the LMM for pricing etc would be on par with a lot of our normal course homework. Coding it from scratch is more MSc level IMO.
Last edited by Hansi on August 2nd, 2013, 10:00 pm, edited 1 time in total.
 
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Cuchulainn
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MatLab code for the LIBOR Market Model needed

August 3rd, 2013, 3:14 pm

QuoteOriginally posted by: PolterQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: HansiIf it's for your thesis shouldn't you be building it yourself, isn't that the most important part of such a project?Indeed! For example, how can an (external) adviser grade such a thesis if the student has not progammed it himself? Should be simple? Fail the student and initiate formal plagiarism procedures?// Unless "use this black box to spit out some numbers and fill some pages talking about your experiences and feelings" really is the standard for whatever university/department this is :SAt the least, the student should state the source of the code. I have seem chunks of FD schemes copied and pasted verbatim from books and articles. Many theses look the same as well. A notable exception is http://www.datasimfinancial.com/forum/f ... of_190.pdf
Last edited by Cuchulainn on August 2nd, 2013, 10:00 pm, edited 1 time in total.
вот мой дорогой двоюродный брат
 
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Darou
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MatLab code for the LIBOR Market Model needed

August 5th, 2013, 8:27 pm

A good source which you can cite in a thesis is http://computeraidedfinance.com/2013/02 ... -book/most models in there are probably too advanced, but the text is good and the simple models should be helpful.--Darou
 
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Fone
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MatLab code for the LIBOR Market Model needed

August 7th, 2013, 5:57 am

Thank you for all the comments. Obviously, I am well awared of plagiarism and would not copy/past. It was thought to get a first idea.Since my major is Econ (undergrad) and I only had stochastic calculus in one course, I realized that this topic is quite demanding for me.Do you have any suggestion how I could make my life a little bit easier?Fone
Last edited by Fone on August 18th, 2013, 10:00 pm, edited 1 time in total.
 
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Hansi
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MatLab code for the LIBOR Market Model needed

August 7th, 2013, 6:51 am

QuoteOriginally posted by: FoneSince my major is Econ (undergrad) and I only had stochastic calculus in one course, I realized that this topic is quite demanding for me.Do you have any suggestion how I could make my life a little bit easier?What is the explicit objective defined for the thesis? Did you choose this topic yourself?Do you have the option of changing topics? When is it due? You background might not be suited for the level of math needed to implement this from scratch.
 
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Fone
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MatLab code for the LIBOR Market Model needed

August 7th, 2013, 6:57 am

QuoteWhat is the explicit objective defined for the thesis? Implementation of the LIBOR Market Model in MatLab (from Calibration to Pricing).QuoteDid you choose this topic yourself?The topic was given by my Prof, but I had to accept it.QuoteDo you have the option of changing topics? Not possible.QuoteWhen is it due? By the end of the year 2013.
 
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Hansi
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MatLab code for the LIBOR Market Model needed

August 7th, 2013, 8:56 am

I suggest having a chat with your professor about his expectations of this given your background and asking for help before going to anyone elses code.Make sure to grab a copy of Musiela's book from the library and have a stab at coding the model up: all is at a loss you can find some relevant code online by simply googling "libor market model matlab" and there is a well known finance matlab book that does have a verified implementation.