What is QuantLib/ql/MarketModels - LMM?

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/What-is-QuantLib-ql-MarketModels-LMM-tp11184.html


OK,

It looks like some test cases have been coded up for the new
QuantLib/ql/MarketModels framework and this looks like another
implementation of the Libor Market Model equivalent to Klaus's where one
uses the FixedVolatilityModel class...

Does anyone know whether the two models are consistent with each other?

Klaus, have you looked at this implementation (a bit soon I know but it
would be worth getting your input on this)?

Best Regards,
Toyin Akin.