RE: LMM and finite difference methods

Posted by cuchulainn on Nov 15, 2005; 4:45am
URL: http://quantlib.414.s1.nabble.com/LMM-and-finite-difference-methods-tp4222p4232.html

Not silly at all IMO

 

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From: [hidden email] on behalf of Joseph Wang
Sent: Tue 15/11/2005 07:01
To: [hidden email]
Subject: [Quantlib-users] LMM and finite difference methods

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......




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