LMM in Quantlib

[amar singh]

Is there any implementation of LMM(Libor Market Model) out there for Quantlib,may be some add on project,etc. ? Or LMM is being implemented in the coming build??

 

Thanks,

Amar

---

Do you Yahoo!?
Protect your identity with Yahoo! Mail AddressGuard

[Ferdinando M. Ametrano-3]

Hi Amar

>Is there any implementation of LMM(Libor Market Model) out there for
>Quantlib,may be some add on project,etc. ? Or LMM is being implemented in
>the coming build??

as far as I know the answer to all the above questions is no, sorry.
Of course any contribution would be welcome.

ciao -- Nando

[Xavier.Abulker]

Hello,
I remember that Michael Meyer proposed his C++/ Java open source LM Model.
Maybe it can help.
Regards
Xavier

cf Michael's email to Quantlib:

Greetings,

If you are interested in the Libor market model please
obtain the file "FastLibor.pdf" from my website
http://martingale.berlios.de/Martingale.html.

Please subscribe to the mailing lists.
I am close to a new version. I am also working on C++
code including four different implementations of the
Libor market model.

Mike




                                                                                                                               
                    Ferdinando Ametrano                                                                                        
                    <[hidden email]>                   To:     amar singh <[hidden email]>, quantlib users        
                    Sent by:                                <[hidden email]>                              
                    [hidden email]       cc:                                                                  
                    eforge.net                             Subject:     Re: [Quantlib-users] LMM in Quantlib                    
                                                                                                                               
                                                                                                                               
                    27/11/2003 10:28                                                                                            
                                                                                                                               
                                                                                                                               




Hi Amar

>Is there any implementation of LMM(Libor Market Model) out there for
>Quantlib,may be some add on project,etc. ? Or LMM is being implemented in
>the coming build??

as far as I know the answer to all the above questions is no, sorry.
Of course any contribution would be welcome.

ciao -- Nando



-------------------------------------------------------
This SF.net email is sponsored by: SF.net Giveback Program.
Does SourceForge.net help you be more productive?  Does it
help you create better code?  SHARE THE LOVE, and help us help
YOU!  Click Here: http://sourceforge.net/donate/
_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users





*************************************************************************
Ce message et toutes les pieces jointes (ci-apres le "message") sont
confidentiels et etablis a l'intention exclusive de ses destinataires.
Toute utilisation ou diffusion non autorisee est interdite.
Tout message electronique est susceptible d'alteration.
La FIMAT et ses filiales declinent toute responsabilite au titre de ce
message s'il a ete altere, deforme ou falsifie.
                                          ********
This message and any attachments (the "message") are confidential and
intended solely for the addressees.
Any unauthorised use or dissemination is prohibited.
E-mails are susceptible to alteration.
Neither FIMATnor any of its subsidiaries or affiliates shall be liable for
the message if altered, changed or falsified.