Re: QuantLib-dev Digest, Vol 3, Issue 1

Posted by Theo Boafo on Aug 03, 2006; 12:37am
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-Vol-3-Issue-1-tp11228.html

Hi Joe,

 

The LMM model is to model payoffs that can be decomposed into forward rates and their  correlations.  Swap rates could be used also.  Basically its a multi factor interest rate model.

 

I dont think LMM is ideal for valuing convertible bonds where we have one stock and one underlying bond.

 

 

Regards

 

Theo