douglasdaly/lmm-pricer

A C++/CUDA set of functions and Excel VBA code for a Libor Market Model implementation. [Unmaintained]

LMM Pricer

Libor Market Model derivatives pricing tool.

Note: This project is not maintained.

This was an old project I worked on for a derivatives course in college. The code is provided as-is and is not maintained in any way. Parts of the original project's README are provided below, the getting-started.html file in the htdocs folder provides more detailed instructions.

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LIBOR MARKET MODEL DERIVATIVES PRICER

Contents:

1.  About 
2.  License 
3.  Use 

1. ABOUT

README: 
    Version: 0.2.1 
    Date:    April 23, 2014 
     
LIBOR Market Model Derivatives Pricer: 
    Version: 0.2.1 
    Date:    April 23, 2014 
     
Author: 
    Douglas James Daly Jr. 
        Undergraduate 
        B.Sc. Physics 
        B.Sc. Applied Mathematics & Statistics 
        The Johns Hopkins University 
        Class of 2014 

Copyrights: 
    All software and source code are Copyright (C) 2014 to Douglas James Daly Jr. 
    except as noted below. 
     
    Excel and Windows are copyrights of the Microsoft Corporation 
        www.Microsoft.com 
     
    CUDA is a copyright of the Nvidia Corporation 
        www.Nvidia.com 

2. LICENSE

This software is provided AS IS.  The author takes no responsibility for its use 
or the potential consequences of its use. 
 
This software is licensed under the GNU General Public License (GPL).  Please see 
the LICENSE.txt file for a copy of the GPL. 
 
Basically you are free to use, modify, reproduce, distribute, etc. this program and 
its source code provided you (a) give credit to the author, (b) include a copy of 
the GPL with any distributions and (c) license any such work under the GPL.   
See LICENSE.txt for details. 

3. USE

Background

Requirements: 
 
    This program currently only supports Microsoft Windows operating systems. 
    Though the C++ code is cross-platform compatible with minor changes. 
         
    This program requires that you have a licensed, authentic version of Microsoft 
    Excel for use of the Excel UI. 
         
Security Notice: 
 
    This program dynamically loads DLL files using VBA.  When you open the workbook you 
    need to enable macros in order to use the functions of the program.  The source code is provided for 
    transparency and ensure the user there is no malicious code. 

Help with Use: 
 
    See the included getting-started.html for detailed instructions and help on how 
    to use this software.