It is widely believed that when evolving rates in the LIBOR market model to step over tenor dates the terminal measure must be used. We explain why this is not the case, and show that by very long stepping in the spot measure it is possible to obtain significant accuracy and standard error...

We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case