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Re: Stochastic yield curve models

Posted by Luigi Ballabio on Jun 07, 2013; 2:35pm
URL: http://quantlib.414.s1.nabble.com/Stochastic-yield-curve-models-tp14344p14352.html

There's Mark Joshi's implementation of the LIBOR market model, in
ql/models/marketmodels.  It's not very well integrated with the rest
of the library, though.

Luigi

On Thu, Jun 6, 2013 at 12:11 PM, Grześ Andruszkiewicz
<[hidden email]> wrote:

> Hi,
>
> Are there any stochastic yield curve models in QuantLib, that I could use in
> a Monte Carlo type simulation to take interest rate risk into account when
> calculating risk of my instrument?
>
> Regards,
> Grzegorz
>
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