2023
The project consists of the improvements of a Monte-Carlo simulation of an Euler-scheme discretization of a Discrete Term Structure Model (LIBOR Market Model) and the investigation of properties of interest rate products using this model.
Found in the project description pdf
Link to the Powerpoint Presentation
The project comes with a pre-configured Maven pom.xml file referencing finmath-lib.
- Clone the project using git (
git clone), then import the project in your favourite IDE as Maven project.
You may consider adding unit tests to your solution. You find a small stub / sample test in src/main/test. You can run unit test from Eclipse or via maven on the command line
mvn clean test
(run from the project directory).
If you like to improve your code-style you may run checkstyle via the maven command
mvn checkstyle:check
(run from the project directory).
Checkstyle will report style issues of you code. If you like to clean up the formatting, you may use Source -> Clean up... in Eclipse.