HJM Model

[samkhalilian]

I ma trying to understand how the HJM model works.

Does anybody have a simple Excel based HJM monte carlo pricer to price a zero coupon bond?

 

[schmellow]

Hi samkhalilian,

can not serve with an Excel sheet, but this one gives a simple example in C. Should be possible to adapt it to your needs.
A nice little paper on this topic is comes here.

hope it helps
cheers

 

[samkhalilian]

Thanks schmellow i will have a look