Re: Using Market Model in QuantLib

Posted by Yannis on Dec 31, 2016; 6:42pm
URL: http://quantlib.414.s1.nabble.com/Using-Market-Model-in-QuantLib-tp17951p17955.html

Thanks for responding back Peter! It's comforting to know I am not the only one working tonight...

I have been sort of suspecting an answer along these lines, but I wanted to be sure that using the MarketModelMultiProduct was indeed the right way to go.

Looking at the code I understand that in order to price a bermudan swaption I must first create the appropriate MarketModelMultiProduct object that represents that swaption and then do what the function "simulate" in marketmodel.cpp does, namely use a MarketModelEvolver to generate a SequenceStatisticsInc object. If I am looking for the swaption's npv, that will then be given by stats.mean(), where stats is the generated SequenceStatisticsInc object.

Perfect! (If I understand it correctly).

Do you know by chance if there is any mapping function that maps an existing QuantLib::Swaption object to the corresponding MarketModelMultiProduct object? 

Of' course I can write my own, but it wouldn't hurt if one was available already. I am asking, because I work already extensively with QuantLib::Swaption objects, which I would now like to price using the available market model apparatus.

Best regards and thanks a lot once more and a happy new year,

Ioannis

Peter Caspers <[hidden email]> schrieb am 18:35 Samstag, 31.Dezember 2016:

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.cpp
https://github.com/lballabio/QuantLib/blob/master/Examples/MarketModels/MarketModels.cpp#L113

Is 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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