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The Libor market model is the standard interest rate model. Yet its application relies on Monte Carlo simulation, which is slow, especially in a flexible, product-independent model setup. This paper proposes an alternative software design of the Monte Carlo simulation to achieve fast and flexible pricing. The design is fast because it separates the computation of forward rate paths from that of payoffs to avoid redundant calculations; it is flexible because it adapts to new types of payoff functions at run-time via on-the-fly compilation. The approach is arbitrarily accurate—it supports a high discretization resolution and even full factors without affecting the response time. It also features a small-footprint software design that is cheap to maintain and productindependent.

Fast and flexible libor model pricing: two-stage Monte Carlo and on-the-fly payoff processing