Fast Greeks in Forward Libor Models --- Source code for numerical examples


The source code provided was used to generate the numerical results in the paper.  We are making the code available with the intention of increasing interest in the methods developed in the paper.  We would be pleased to have others experiment with the methods and try them out on other types of products.  However, we cannot provide any kind of support or technical assistance for the software.

If you do experiment with the software and find it helpful, let us know!