Login  Register

RE: LMM and finite difference methods

Posted by cuchulainn on Nov 15, 2005; 4:49am
URL: http://quantlib.414.s1.nabble.com/LMM-and-finite-difference-methods-tp4222p4227.html

Re: [Quantlib-users] LMM and finite difference methods
 

> don't answer email before coffee.
 
And a ciggy as well!
 

 

From: [hidden email] on behalf of Luigi Ballabio
Sent: Tue 15/11/2005 10:36
To: Joseph Wang
Cc: [hidden email]
Subject: Re: [Quantlib-users] LMM and finite difference methods


On 11/15/2005 10:21:39 AM, Ferdinando Ametrano wrote:
> On 11/15/05, Joseph Wang <[hidden email]> wrote:
> > Here is a silly question.  Why is it that LMM methods are used only
> > with Monte Carlo and not with finite difference methods.
>
> LMM are intrinsically high-dimension. If you model the 30-year yield
> curve as a strip of 6-month forward libor you have 60 factors. FD 
> with more than 3 factors are less efficient than MC, and very hard 
> (almost impossible?) to implement.

Ok, so that was your question.

Note to self: don't answer email before coffee.

Later,
        Luigi

----------------------------------------

Zawinski's Law:
        Every program attempts to expand until it can read mail. Those
        programs which cannot so expand are replaced by ones which can.



-------------------------------------------------------
This SF.Net email is sponsored by the JBoss Inc.  Get Certified Today
Register for a JBoss Training Course.  Free Certification Exam
for All Training Attendees Through End of 2005. For more info visit:
http://ads.osdn.com/?ad_idv28&alloc_id845&op=ick
_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users