Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/LMM-in-Quantlib-tp2746p2747.html
Hello,
I remember that Michael Meyer proposed his C++/ Java open source LM Model.
Maybe it can help.
Regards
Xavier
cf Michael's email to Quantlib:
Greetings,
If you are interested in the Libor market model please
obtain the file "FastLibor.pdf" from my website
http://martingale.berlios.de/Martingale.html.
Please subscribe to the mailing lists.
I am close to a new version. I am also working on C++
code including four different implementations of the
Libor market model.
Mike
Ferdinando Ametrano
<
[hidden email]> To: amar singh <
[hidden email]>, quantlib users
Sent by: <
[hidden email]>
[hidden email] cc:
eforge.net Subject: Re: [Quantlib-users] LMM in Quantlib
27/11/2003 10:28
Hi Amar
>Is there any implementation of LMM(Libor Market Model) out there for
>Quantlib,may be some add on project,etc. ? Or LMM is being implemented in
>the coming build??
as far as I know the answer to all the above questions is no, sorry.
Of course any contribution would be welcome.
ciao -- Nando
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