What is QuantLib/ql/MarketModels?

[Piter Dias-3]

People,

What is the new QuantLib/ql/MarketModels directory?
Is accountingengine a engine to calculate accruals for accounting systems?


Piter Dias
[hidden email]

[Toyin Akin]

Hi,

It looks like a general montecarlo framework for pricing interest rate
products where one can derive from the base and add their own pricing
function(s)...

If this is correct, then this is great as QuantLib already has the framework
for Equity/FX/Commodity type pricing via montecarlo.

Question is, does it handle correlated products... (ie - Asian on the
average of 2 libor rates each fixed in different currencies...)

Toy out.

>From: "Piter Dias" <[hidden email]>
>Reply-To: [hidden email]
>To: [hidden email]
>Subject: [Quantlib-users] What is QuantLib/ql/MarketModels?
>Date: Tue, 4 Jul 2006 23:03:56 -0300 (BRST)
>
>People,
>
>What is the new QuantLib/ql/MarketModels directory?
>Is accountingengine a engine to calculate accruals for accounting systems?
>
>
>Piter Dias
>[hidden email]
>
>
>
>Using Tomcat but need to do more? Need to support web services, security?
>Get stuff done quickly with pre-integrated technology to make your job
>easier
>Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
>http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Toyin Akin]

I guess we'll get a better idea once the test cases are coded up...

Toy out.

>From: "Toyin Akin" <[hidden email]>
>To: [hidden email]
>CC: [hidden email]
>Subject: Re: [Quantlib-users] What is QuantLib/ql/MarketModels?
>Date: Wed, 05 Jul 2006 07:22:41 +0100
>
>
>Hi,
>
>It looks like a general montecarlo framework for pricing interest rate
>products where one can derive from the base and add their own pricing
>function(s)...
>
>If this is correct, then this is great as QuantLib already has the
>framework
>for Equity/FX/Commodity type pricing via montecarlo.
>
>Question is, does it handle correlated products... (ie - Asian on the
>average of 2 libor rates each fixed in different currencies...)
>
>Toy out.
>
> >From: "Piter Dias" <[hidden email]>
> >Reply-To: [hidden email]
> >To: [hidden email]
> >Subject: [Quantlib-users] What is QuantLib/ql/MarketModels?
> >Date: Tue, 4 Jul 2006 23:03:56 -0300 (BRST)
> >
> >People,
> >
> >What is the new QuantLib/ql/MarketModels directory?
> >Is accountingengine a engine to calculate accruals for accounting
>systems?
> >
> >
> >Piter Dias
> >[hidden email]
> >
> >
> >
> >Using Tomcat but need to do more? Need to support web services, security?
> >Get stuff done quickly with pre-integrated technology to make your job
> >easier
> >Download IBM WebSphere Application Server v.1.0.1 based on Apache
>Geronimo
> >http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> >_______________________________________________
> >QuantLib-users mailing list
> >[hidden email]
> >https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
>Using Tomcat but need to do more? Need to support web services, security?
>Get stuff done quickly with pre-integrated technology to make your job
>easier
>Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
>http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users