http://quantlib.414.s1.nabble.com/Using-Market-Model-in-QuantLib-tp17951p17959.html
I think it's mainly for speed optimisation and simplicity. For example
them further using the CompositeProduct. The result is a "super-deal"
market model simulation pass. Also, within the market model machinery
precomputed to doubles. There are no lazy objects, no observers (as
> This is exactly what I had in mind. The existing setup is an aberration from
> the usual Instrument-Engine design and I don't know why.
>
> But I am actually glad the hard work for the market model implementation has
> been done, even if one needs to adopt to the new interface.
>
> Regards
> Ioannis
>
>
> Peter Caspers <
[hidden email]> schrieb am 14:17 Montag, 2.Januar
> 2017:
>
>
> Happy new year. Here is a European swaption implementation which could
> be a starting point for you
>
>
https://github.com/lballabio/QuantLib/blob/master/ql/models/marketmodels/products/multistep/multistepswaption.hpp>
> I don't think there is a mapping from QuantLib::Swaption implemented
> already. Maybe it would be nice to have a QuantLib::PricingEngine
> (more specifically an engine inheriting from Swaption::engine) that
> takes a MarketModel instance in its ctor and then (within the
> calculate() method) creates a temporary MarketModelMultiProduct from
> the QuantLib::Swaption arguments and wraps the whole LMM pricing as
> you described it above.
>
> Best Regards
> Peter
>
>
> On 31 December 2016 at 19:42, Yannis <
[hidden email]> wrote:
>> 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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>>
>>
>
>