Re: the LMM in QuantLib

Posted by willshaw on
URL: http://quantlib.414.s1.nabble.com/the-LMM-in-QuantLib-tp6608p6612.html

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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