In the Libor Market Model (LMM) Which of the Following

question 9

Multiple Choice

In the Libor Market Model (LMM) which of the following is not a beneficial feature of the model?

• A) The LMM only requires one factor for each rate.
• B) The model is easily calibrated to the Black model caplet/floorlet prices.
• C) The evolution of Libor rates is modeled directly.
• D) It is easily implemented on a recombining tree.

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