Hi All,
There are test cases defined in libormarketmodel.hpp of quantlib which has test cases of lmm calibration using caps and swaption but some of the headers files used in the test case are found in QuantLib\ql\legacy. Also the ss associated with it ie LMMTestSuiteOnForwardAndOptionlet.xls doesn't seem to be working properly. Is it the correct code to use if one wants to calibrate LMM using european swaptions??
Apart from I see a calibrator for lmm using QuantLib\Examples\BermudanSwaption. Apart from i can see calibration code in QuantLib\Examples\MarketModels. Can someone please let me know which is the correct code for use a lmm calibrator??
regards,
Manas
------------------------------------------------------------------------------
Special Offer -- Download ArcSight Logger for FREE!
Finally, a world-class log management solution at an even better
price-free! And you'll get a free "Love Thy Logs" t-shirt when you
download Logger. Secure your free ArcSight Logger TODAY!
http://p.sf.net/sfu/arcsisghtdev2dev_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
