3 IR and 2 FX factor LMM supported?

Posted by tglauner on Jun 07, 2010; 3:24pm
URL: http://quantlib.414.s1.nabble.com/3-IR-and-2-FX-factor-LMM-supported-tp659.html

I would like to use the LMM model to price a 3 currency swap. Before implementing it I would like to check and see that most of the required features are available. Can you please get back to me that QuantLib supports with its LMM implementation the following:

1) LMM to support 5 stochastic factors - three interest (IR) indices and two FX rates. The IR curves are the Libor curves for the 3 currencies.
2) Input into the model should be rates for the IR curves, two spot fx rates, matrices of at-the-money (ATM) swaption volatilities for IR and vectors of FX volatilities. The correlations should be the fx/fx, index/index and the fx/index correlations.
3) Calibration should be to a definable set of swaptions and fx options. The calibration should be done via closed form solution.

Thanks very much,
Tim