Login  Register

RE: LMM and finite difference methods

Posted by cuchulainn on Nov 15, 2005; 4:44am
URL: http://quantlib.414.s1.nabble.com/LMM-and-finite-difference-methods-tp4222p4234.html

Re: [Quantlib-users] LMM and finite difference methods
If we van find the SDE then we use Ito?
 


From: [hidden email] on behalf of Luigi Ballabio
Sent: Tue 15/11/2005 08:50
To: Joseph Wang
Cc: [hidden email]
Subject: Re: [Quantlib-users] LMM and finite difference methods


On 11/15/2005 07:01:27 AM, Joseph Wang wrote:
> Here is a silly question.  Why is it that LMM methods are used only 
> with Monte Carlo and not with finite difference methods.

It's still a work in progress. Klaus began contributing the process 
class as it's kind of self-contained, but he's still working on other 
code using the model.

Later,
        Luigi

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

There are no rules of architecture for a castle in the clouds.
-- Gilbert K. Chesterton



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