Re: What is QuantLib/ql/MarketModels - LMM?

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/What-is-QuantLib-ql-MarketModels-LMM-tp11184p11189.html

Hi all

> What is the purpose of the displacements array within the new LMM framework?
simulating displaced lognormal forward gets you a "natural" skew, so
displacement are used to fit an observed volatility skew.

Suggestion: if you really want to follow this development you should
get a copy of Rebonato's "Modern Pricing Of Interest Rate Derivatives"

ciao -- Nando