Ametrano and Joshi "Smooth Calibration of the LMM..." example code

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Ametrano and Joshi "Smooth Calibration of the LMM..." example code

Mark joshi-2
The code for this is definitely in there.

Look at

marketmodel_smmcaplethomocalibration.cpp

in the testsuite

regards

Mark


--

Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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