Posted by
Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/What-is-QuantLib-ql-MarketModels-LMM-tp4897p4900.html
Hi guys,
I was just scanning some of the code within the new abcdvolatility.cpp class
(marketmodel framework) and I noticed that at one point the order that the
a,b,c,d parameters are passed in are different than that of Klaus's abcd
class code dispite the fact that the formula that is finally called is the
same for both frameworks.
Basically
line #88 within the abcdvolatility.cpp file and...
line #69 within the lmlinexpvolmodel.cpp file.
The former file passes the parameters in the order of b,c,d,a and the latter
file - a,b,c,d. The same function is executed for both (code copied from
Klaus's class to the new framework).
Are we suggesting that the interpretation of the parameters are actually
different for both frameworks?
It doesn't help that the resulting function that is finally called within
the abcdvolatility.cpp file, primitive(), actually has the parameters
labeled as a,b,c,d, but what is actually passed in is b,c,d,a!!
I'm trying to determine whether I can generate similar outputs from both
models...
Either the interpretation of the parameters are different for each model, or
one is passing in the parameters in an incorrect order...
Also I do realise that the new framework is a work in progress...
Looks good though and it's pretty quick.
Toy out...
>From: Klaus Spanderen <
[hidden email]>
>Reply-To:
[hidden email]
>To:
[hidden email], "Ferdinando Ametrano" <
[hidden email]>
>CC:
[hidden email],
>
[hidden email]
>Subject: Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?
>Date: Fri, 7 Jul 2006 23:14:23 +0200
>
>Hi
>
>from what I heard and what is in the CVS the scope of the MarketModels
>project
>is much wider than the scope of the LMM code, which has some inefficiencies
>and inherits some due to the "old quantlib style". Especially the separate
>numeriare modelling is something I do appeiciate very much (was also on my
>personal wish list for a long time).
>
>Therefore I think the right way forward is to reuse the existing LMM code
>when
>it makes sens (like parts of AbcdVolatility) but to remove the rest as soon
>as the old code gets superseded by the new framework. Looking onto the
>current momentum and the coding power of the MarketModels project this will
>likely be in release 0.3.14;-)
>
>What I personally find even more interestingly is that the new framework
>does
>currently not use more important design issues of QL like stochastic
>processes, the existing MonteCarlo & Pricing Engine approach or the given
>instrument definitions. Nando, is it planed to "see" more fundamental
>changes
>in the quantlib soon? (or will the MarketModels stuff be integrated in the
>existing MonteCarlo framework, which is very much equity driven).
>
>cheers
> Klaus
>
>On Friday 07 July 2006 9:33 am, Ferdinando Ametrano wrote:
> > Hi all
> >
> > > It looks like some test cases have been coded up for the new
> > > QuantLib/ql/MarketModels framework and this looks like another
> > > implementation of the Libor Market Model
> >
> > yes it is. The coding project is led by Mark Joshi. Luigi, I and
> > others are involved.
> >
> > > equivalent to Klaus's [...] Does anyone know whether the two models
>are
> > > consistent with each other?
> >
> > They probably are. The new implementation follows Joshi and Rebonato's
> > approch (see The Concepts and Practice of Mathematical Finance, by
> > Mark S. Joshi, and Modern Pricing of Interest Rate Derivatives, by
> > Riccardo Rebonato)
> >
> > This implementation strive for optimal efficiency, and it is not
> > really merged into QuantLib current design (yet). Klaus implementation
> > is much more QuantLib style, but suffer few efficiency problems.
> >
> > Klaus knows about the project and we hope he will join us. For sure
> > we'll try to reuse much of his work where possible.
> >
> > ciao -- Nando
> >
> > Using Tomcat but need to do more? Need to support web services,
>security?
> > Get stuff done quickly with pre-integrated technology to make your job
> > easier Download IBM WebSphere Application Server v.1.0.1 based on Apache
> > Geronimo
> >
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