Posted by
Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/What-is-QuantLib-ql-MarketModels-LMM-tp11184p11191.html
Hi Luigi, Everyone,
Another LMM question for you all...
Within the new marketmodels test examples, there is a construction of a
volatility array which is passed to the exponentialcorrelation class
constructor.
Is this array the forward rate (caplet) volatilities observed (calibrated)
from the market?
Or is this array the outcome of some function applied to the observed
(calibrated) forward rate volatilities?
I noticed within Klaus's implementation (test cases), there is a class,
LfmHullWhiteParameterization, which takes the forward rate vols and
processes the volatilities before passing them into his lmm fixedvol model.
I was wondering if the same processing needs to be done under the new
framework.
Toy out...
>From: Luigi Ballabio <
[hidden email]>
>To: Toyin Akin <
[hidden email]>
>CC:
[hidden email],
>
[hidden email],
[hidden email],
>
[hidden email]
>Subject: Re: [Quantlib-users] [Quantlib-dev] What is
>QuantLib/ql/MarketModels - LMM?
>Date: Mon, 10 Jul 2006 09:33:44 +0200
>
>
>On 07/08/2006 06:02:03 PM, Toyin Akin wrote:
>>What is the purpose of the displacements array within the new LMM
>>framework?
>
>One might want to model lognormal displaced rates instead of lognormal
>rates. It is not an observable.
>
>Luigi
>
>
>----------------------------------------
>
>It is better to know some of the questions than all of the answers.
>-- James Thurber