LMM Simulation Generates the forward rates autocorrelation plot using a LIBOR market model
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simulation Monte Carlo simulation Monte Carlo

LMM Simulation Description

LMM Simulation is a lightweight application built in Java that you can use to determine the autocorrelation of forward rates based on a simple LIBOR market model. The simulation parameters are customizable: you can change the time horizon, the rate period length and the autocorrelation offset values. The application automatically adjusts the autocorrelation plot depending on the values you input.

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