LMM and finite difference methods
Posted by Joseph Wang on Nov 14, 2005; 10:02pm
URL: http://quantlib.414.s1.nabble.com/LMM-and-finite-difference-methods-tp4222.html
Here is a silly question. Why is it that LMM methods are used only with
Monte Carlo and not with finite difference methods. I'm probably
missing something very fundamental, but it seems mathematically possible
to write a FDM engine that calculates the forward curve.
So what is it that I don't understand......