Posted by
Peter Caspers-4 on
Dec 31, 2016; 4:02pm
URL: http://quantlib.414.s1.nabble.com/Using-Market-Model-in-QuantLib-tp17951p17954.html
Hi Ioannis,
no, there isn't. There are two Libor Market Model implementations and
the "non-legacy" one under ql/models/marketmodels requires instruments
to inherit from MarketModelMultiProduct. This interface is quite
different from QuantLib::Instrument, for example it is obviously
designed towards pricing in the specific model implementation.
Otherwise there is lots of example code for this e.g.
https://github.com/lballabio/QuantLib/blob/master/test-suite/marketmodel.cpphttps://github.com/lballabio/QuantLib/blob/master/Examples/MarketModels/MarketModels.cpp#L113Is there a reason why you want the usual QuantLib instrument interface
(like e.g. you have an existing infrastructure with pluggable pricing
engines)?
Best Regards
Peter
On 29 December 2016 at 10:05, Yannis <
[hidden email]> wrote:
> Hi,
>
> I am looking for code that demonstrates the usage of market models.
>
> Is there anywhere in the test folder a piece of code that prices any kind of
> Instrument (i.e. an object the type of which derives from
> QuantLib::Instrument) based on a non-experimental, non-legacy Market Model?
>
> For example, searching for a pricing example of a QuantLib::Swaption, I have
> only found code that makes use of QuantLib::LfmSwaptionEngine, which
> unfortunately is part of the legacy folder.
>
> Thanks,
>
> Ioannis
>
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