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-tp4897p4906.html


On 07/08/2006 05:08:35 PM, Toyin Akin wrote:
> 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

Klaus used a Brigo-Mercurio paper, while we started coding based on  
Rebonato's book. The two references use the same formula but with the  
a,b,c,d parameters in different places---hence the permutation. At some  
point we'll uniform the notation.

Luigi


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