There are two (independent) implementations in
ql/models/marketmodels and
ql/legacy/libormarketmodels
respectively. You can get example code from
test-suite/marketmodel*.cpp
test-suite/libormarketmodel.cpp and also
Examples/MarketModels
best, Peter
On 6 May 2014 22:32, Mike Aneiro <
[hidden email]> wrote:
> Hi,
>
>
>
> I am looking to develop a 2-factor LIBOR Market Model to build stochastic
> paths for mortgage OAS calculations. Has any development been done for this
> type of interest-rate model within QuantLib? If so, would someone be able
> to point me in the right direction?
>
>
>
> Thanks,
>
> Mike
>
>
>
>
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