http://quantlib.414.s1.nabble.com/What-is-QuantLib-ql-MarketModels-LMM-tp11184p11188.html
>From: "Toyin Akin" <
[hidden email]>
>To:
[hidden email],
[hidden email]
>CC:
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>Subject: Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?
>Date: Sat, 08 Jul 2006 16:08:35 +0100
>
>
>Hi guys,
>
>I was just scanning some of the code within the new abcdvolatility.cpp
>class
>(marketmodel framework) and I noticed that at one point the order that the
>a,b,c,d parameters are passed in are different than that of Klaus's abcd
>class code dispite the fact that the formula that is finally called is the
>same for both frameworks.
>
>Basically
>
>line #88 within the abcdvolatility.cpp file and...
>line #69 within the lmlinexpvolmodel.cpp file.
>
>The former file passes the parameters in the order of b,c,d,a and the
>latter
>file - a,b,c,d. The same function is executed for both (code copied from
>Klaus's class to the new framework).
>
>Are we suggesting that the interpretation of the parameters are actually
>different for both frameworks?
>
>It doesn't help that the resulting function that is finally called within
>the abcdvolatility.cpp file, primitive(), actually has the parameters
>labeled as a,b,c,d, but what is actually passed in is b,c,d,a!!
>
>I'm trying to determine whether I can generate similar outputs from both
>models...
>
>Either the interpretation of the parameters are different for each model,
>or
>one is passing in the parameters in an incorrect order...
>
>Also I do realise that the new framework is a work in progress...
>Looks good though and it's pretty quick.
>
>Toy out...
>
>
>
>
> >From: Klaus Spanderen <
[hidden email]>
> >Reply-To:
[hidden email]
> >To:
[hidden email], "Ferdinando Ametrano" <
[hidden email]>
> >CC:
[hidden email],
> >
[hidden email]
> >Subject: Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?
> >Date: Fri, 7 Jul 2006 23:14:23 +0200
> >
> >Hi
> >
> >from what I heard and what is in the CVS the scope of the MarketModels
> >project
> >is much wider than the scope of the LMM code, which has some
>inefficiencies
> >and inherits some due to the "old quantlib style". Especially the
>separate
> >numeriare modelling is something I do appeiciate very much (was also on
>my
> >personal wish list for a long time).
> >
> >Therefore I think the right way forward is to reuse the existing LMM code
> >when
> >it makes sens (like parts of AbcdVolatility) but to remove the rest as
>soon
> >as the old code gets superseded by the new framework. Looking onto the
> >current momentum and the coding power of the MarketModels project this
>will
> >likely be in release 0.3.14;-)
> >
> >What I personally find even more interestingly is that the new framework
> >does
> >currently not use more important design issues of QL like stochastic
> >processes, the existing MonteCarlo & Pricing Engine approach or the given
> >instrument definitions. Nando, is it planed to "see" more fundamental
> >changes
> >in the quantlib soon? (or will the MarketModels stuff be integrated in
>the
> >existing MonteCarlo framework, which is very much equity driven).
> >
> >cheers
> > Klaus
> >
> >On Friday 07 July 2006 9:33 am, Ferdinando Ametrano wrote:
> > > Hi all
> > >
> > > > 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
> > >
> > > yes it is. The coding project is led by Mark Joshi. Luigi, I and
> > > others are involved.
> > >
> > > > equivalent to Klaus's [...] Does anyone know whether the two models
> >are
> > > > consistent with each other?
> > >
> > > They probably are. The new implementation follows Joshi and Rebonato's
> > > approch (see The Concepts and Practice of Mathematical Finance, by
> > > Mark S. Joshi, and Modern Pricing of Interest Rate Derivatives, by
> > > Riccardo Rebonato)
> > >
> > > This implementation strive for optimal efficiency, and it is not
> > > really merged into QuantLib current design (yet). Klaus implementation
> > > is much more QuantLib style, but suffer few efficiency problems.
> > >
> > > Klaus knows about the project and we hope he will join us. For sure
> > > we'll try to reuse much of his work where possible.
> > >
> > > ciao -- Nando
> > >
> > > 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
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>Apache
> > > Geronimo
> > >
>
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>
>
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