lfmprocess

[stijn oude brunink]

Hello,

I would like simulate the lmm-model under the spot libor measure. The class LiborForwardModelProcess does that but for some reason this class has been moved to the legacy. Why has that been done and what the alternative under the non-legacy code?

regards

Stijn

[Luigi Ballabio]

The alternative would be the libor market model implementation developed with Mark Joshi. It's in <ql/models/marketmodels/>. It's more complete and faster than the legacy code, but it's not as well integrated with the rest of QuantLib. Have a look and see which one is best for you. Don't worry about the one in legacy being deprecated; I don't think it's going anywhere soon.

Luigi

 

On Thu, Mar 12, 2015 at 3:35 PM, stijn oude brunink <[hidden email]> wrote:

Hello,

I would like simulate the lmm-model under the spot libor measure. The class
LiborForwardModelProcess does that but for some reason this class has been
moved to the legacy. Why has that been done and what the alternative under
the non-legacy code?

regards

Stijn





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