Posted by
Mark joshi-2 on
URL: http://quantlib.414.s1.nabble.com/the-LMM-in-QuantLib-tp6608p6609.html
I am a bit mystified by this comment.
MarketModelExerciseValue and MarketModelMultiProduct don't have constructors
since they are empty base classes. The code is written to run off
EvolutionDescriptions
where the evolution times and rate times are distinct concepts. There
are certainly
examples of MarketModelMultiProduct s with only one evolution time,
for example, in the code.
You can also specify which evolution times are exercise times. So you
can merge rate times
and exercise dates to get the set of evolution times for example.
For early exercise, you need to be able to collect data at
non-exercise times as well as exercise times in case
coupons have path-dependence affected by non-exercise times.
regards
mark
------------------------------------------------------------------------------------------------
To:
[hidden email]
Date: Wed, 10 Sep 2008 21:10:36 -0700 (PDT)
Subject: Re: [Quantlib-users] the LMM in QuantLib
Hi, Mark,
It seems that exerciseTimes are the same as rateTimes and evolutionTimes in
the QuantLib code, although they should be different, especially the
exerciseTimes, which usually are 10 - 30 business days before rateTimes. I'm
referring to the classes such as MarketModelExerciseValue,
MarketModelMultiProduct, LongstaffSchwartzExerciseStrategy. I also note that
in collectNodeData, the node data are collected at evolutionTimes/rateTimes
instead of exerciseTimes. But I think it should be exerciseTimes.
Even we can choose evolutionTimes different from rateTimes and let
exerciseTimes = evolutionTimes, the constructors of MarketModelExerciseValue
and MarketModelMultiProduct have hard-coded rateTimes = evolutionTimes
(except for the last rateTimes of course).
Mark joshi wrote:
>
> 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/article558>
>
> best
>
> 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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