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nitant
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Joined: December 30th, 2004, 7:22 am

portfolio loss distribution

January 24th, 2005, 1:35 pm

Hi all,I am a fresher for callable interest rate range accrual. I want to understand the concept and implementation of callable range accrual using LMM. So far I have been successful in generating forward libor rates paths using monte carlo. The results for caplet price turns out to be constant upto 4th decimal place but beyond that it changes, any suggestions to increase the accuracy?I tried for some literature in google for callable range accrual but not successful, if any one have help me arranging some literature then that will a great help.Thanks in advance,Nitant