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I try to simulate forward rates with the Libor Market Model (LMM). Unfortunately, I just have data for normal vols instead of lognormal vols which are assumed in the LMM. Is there a way I can adjust either the LMM or my data to bring it together?

Thanks!

Marc157
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  • I would suggest you convert your market data, see https://quant.stackexchange.com/questions/58564 and https://quant.stackexchange.com/questions/66522 – KevinT Feb 29 '24 at 17:51

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