Libor Market Model

[Lars Schouw]

Is there any plans to add any Libor Market Models to Quantlib?
Lars

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[Luigi Ballabio]

On 03/27/2006 07:15:22 AM, Lars Schouw wrote:
> Is there any plans to add any Libor Market Models to Quantlib?

An initial implementation is in QuantLib 0.3.12 , to be released any time now.

Luigi


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I am extraordinarily patient, provided I get my own way in the end.
-- Margaret Thatcher

[Toyin Akin]

Hi Luigi,

I am puzzled by the EndDate calculation within line #275 of the
SwapRateHelper class (cpp).

I thought that the convention for building swaps is to pass in an unadjusted
Enddate and
the Schedule classes would take care of moving to the correct end dates for
each period when needed (given a calendar object).

The computation of the enddate within this class suggests (if the
floatingConvention does not equal 'UnAdjusted') that we could construct a
5Y, 2D swap object and all the swap cashflows will be referenced from the
adjusted enddate instead of the unadjusted enddate.

Or am I missing something...

Toy out.

[Luigi Ballabio]

On 4/3/06, Toyin Akin <[hidden email]> wrote:
> I am puzzled by the EndDate calculation within line #275 of the
> SwapRateHelper class (cpp).

Yes, I'll have to check it. Thanks for the heads-up.

Later,
    Luigi

[Luigi Ballabio]

On 04/03/2006 08:14:25 AM, Toyin Akin wrote:
> I am puzzled by the EndDate calculation within line #275 of the  
> SwapRateHelper class (cpp).

Ok, fixed. Thanks for the heads-up.

Luigi


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