Re: QuantLib-dev Digest, Vol 3, Issue 1

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Re: QuantLib-dev Digest, Vol 3, Issue 1

Theo Boafo
Hi Joe,
 
The LMM model is to model payoffs that can be decomposed into forward rates and their  correlations.  Swap rates could be used also.  Basically its a multi factor interest rate model.
 
I dont think LMM is ideal for valuing convertible bonds where we have one stock and one underlying bond.
 
 
Regards
 
Theo