Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/What-is-QuantLib-ql-MarketModels-LMM-tp4897p4903.html


On 07/08/2006 06:02:03 PM, Toyin Akin wrote:
> What is the purpose of the displacements array within the new LMM
> framework?

One might want to model lognormal displaced rates instead of lognormal  
rates. It is not an observable.

Luigi


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It is better to know some of the questions than all of the answers.
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