Projects/cleanups in market model code

[Joseph Wang-2]

Are there any small projects and cleanups in the market model code that need
to be made.  I've got Rebanto's book, and I'd like to get a small project so
that I can get my hands dirty with the code.

Also, does anyone know if LMM has been used to value convertible bonds?  It
seems like one would just need to add a stock process.

[Ferdinando M. Ametrano-3]

On 8/2/06, Joseph Wang <[hidden email]> wrote:
> Are there any small projects and cleanups in the market model code that need
> to be made.  I've got Rebanto's book, and I'd like to get a small project so
> that I can get my hands dirty with the code.

1) write the one-step and multiple-step MarketModelProduct for pricing
all co-initial plain vanilla swaps. Follows the Caplet and Forward
Rate MarketModelProduct implementation as blueprint. Test the pricing
is not affected by the forward libor correlation model
2) write the one-step and multiple-step MarketModelProduct that price
all Forward, Caplets, and Co-initial Swaps at the same time. A
composite pattern should be preferred

ciao -- Nando

PS please do not cross-post to quantlib-users when the subject relates
to developing QuantLib, especially if the code you are referring to is
not yet released