No, I don't think it supports FX yet.
Luigi
On Mon, 2010-06-07 at 08:24 -0700, tglauner wrote:
> I would like to use the LMM model to price a 3 currency swap. Before
> implementing it I would like to check and see that most of the required
> features are available. Can you please get back to me that QuantLib supports
> with its LMM implementation the following:
>
> 1) LMM to support 5 stochastic factors - three interest (IR) indices and two
> FX rates. The IR curves are the Libor curves for the 3 currencies.
> 2) Input into the model should be rates for the IR curves, two spot fx
> rates, matrices of at-the-money (ATM) swaption volatilities for IR and
> vectors of FX volatilities. The correlations should be the fx/fx,
> index/index and the fx/index correlations.
> 3) Calibration should be to a definable set of swaptions and fx options. The
> calibration should be done via closed form solution.
>
> Thanks very much,
> Tim
>
>
--
The nice thing about standards is that there are so many of them to
choose from.
-- Andrew S. Tanenbaum
------------------------------------------------------------------------------
ThinkGeek and WIRED's GeekDad team up for the Ultimate
GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the
lucky parental unit. See the prize list and enter to win:
http://p.sf.net/sfu/thinkgeek-promo_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
