Re: the LMM in QuantLib

Posted by willshaw on
URL: http://quantlib.414.s1.nabble.com/the-LMM-in-QuantLib-tp6608p6610.html

Sorry. I actually mean the derived classes of MarketModelExerciseValue and MarketModelMultiProduct.
Although i can choose different evolution times in derived class of MarketModel, the evolution defined in constructor such as MultiProductMultiStep, BermudanSwaptionExerciseValue, is the same as ratetimes. This can cause isBasisTime in collectNodeData to be all "false" if I use different evolution times for dataProvider such as SwapBasisSystem. isProductTime, isRebateTime, isControlTime, isExerciseTime are guranteed to be true since they are all from rate times.


<quote author="Mark joshi-2">
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