the LMM in QuantLib
Posted by
Mark joshi on
URL: http://quantlib.414.s1.nabble.com/the-LMM-in-QuantLib-tp6608.html
Dear All,
I have started working on the LMM in QuantLib again. The main new addition is the Giles--Glasserman
smoking adjoints method for delta and vega computation.
I'd be interested in any feedback users have.
eg
1) what's buggy? (if anything)
2) what features do you need that are missing?
3) do you find it hard to use?
4) if you aren't using it why not?
For those who are finding it hard to follow the details, I will be doing a course in London in February on the QuantLib
implementation of the LIBOR Market Model, we will do the whole thing
from theory through to the C++ code. Book by Sep 30th for a special
very early bird discount.
http://www.moneyscience.com/Events_Noticeboard/article558best
Mark
--
Quant Job Interview Questions and Answers is now out:
www.markjoshi.com
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is
www.markjoshi.com
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