Heath Jarrow Morton (HJM) arbitrage simulator

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Our project is a program which permits to compute a commodity swaption value.

We based our program on Karl Larsson’s study. In his study “Approximative valuation of swaption”, he presents a method based on Heath Jarrow Morton's framework. This framework is usually used to compute forward interest rates curves. However this study permits also to approximate quickly the accuracy price of a swaption. Our Program implements this study in an Excel file. The file permits to the user to compare the result given by Karl Larsson method and the one given by a Monte Carlo simulation. The aim of this project is to develop a quick and accurate tool to evaluate the price of this complex financial instrument.

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