Hi,Is anyone ware of any pricing model for callable libor exotics (like callable range accrual, callable binary options) etc.

Hi ajeetkc,You may want to have a look at this paper from Vladimir Piterbarg:http://papers.ssrn.com/sol3/papers.cfm? ... 084....and I think there is an earlier thread talking about it....Stan

Bien vu. Very good paper indeed.

Thanks. Do you have a calculator for the pricing of libor exotics.

Cheers mate !

ajeetkc, I am not sure providing a calculator will help you, based on the fact you need to make assumptions on the inputs which are not that straight especially on the correlation side

Andreloeffler, I understand that there are several assumptions which needs to be made in order to get the proper results. However, if you could send me a basic calculator, I would then incorporate the assumptions to derive at the final model.

Andreloeffler, I understand that there are several assumptions which needs to be made in order to get the proper results. However, if you could send me a basic calculator, I would then incorporate the assumptions to derive at the final model.Thanks.

Andreloeffler, if you could send you calculator to me as well, it would be great! I can then just give it to our traders and retire to Spain

Why on earth have we all spent years trying to find a decent model for pricing libor exotics when all we needed to do was to ask Andreloeffler for a simple calculator?I feel so stupid!

Andrelroeffler, haven't received your reply to the request yet.

QuoteOriginally posted by: ajeetkcAndrelroeffler, haven't received your reply to the request yet.Andrelroeffler did not reply probably because he is too polite to say F&!k *&f!

You're damm right !I have great respect for the founders and columnists of this magazine.I am sorry for those who misunderstood my message. Maybe it's because of my poor English. Maybe not.

Hi ajeetkc,Do not be dispair. The reason why no one can send you a calculator for Callable Range Accrual is partly because there are so many decisions one have to make to get the final value. LIBOR Market Model is a good framework but to get the most efficient implementation for a structure, often the quant have to select different input for calibration or volatility specification, etc.. I found open source code on the internet by a kind person by the name of Michael Meyer, his web-site is http://martingale.berlios.de/Martingale.html. Please take a look and you will realise that in order to build a calculator for Bermudan Swaption a lot has to be done. Building a calculator for LIBOR Exotics is more involved than writing Black-Scholes.In any event, I always find it difficult to use programs written by others because I can never be sure how confident I can be about the implementation. Every programmer has his style and it is natural that one should write his own implementation. That being said, the write-up by Michael Meyer serves as a reasonable entry point toward understanding most of the decisions one has to make in building a LIBOR Exotics calculator.PhilP.S. Dr. Vladimir Piterbarg, why do you want to retire in Spain? There are more mathematician of your calibre in Poland/Russia, perhaps you should retire there. Afterall, you are way too young to contemplate retirement and I am waiting for you to publish a book on the implementation of a universal calculator for LIBOR exotics.

QuoteOriginally posted by: piterbargAndreloeffler, if you could send you calculator to me as well, it would be great! I can then just give it to our traders and retire to Spainwe're looking for quants in madrid...