http://quantlib.414.s1.nabble.com/the-LMM-in-QuantLib-tp6608p6613.html
At the moment, the main thing I am doing to assist users is running the course in February which will discuss the C++ code:
http://www.moneyscience.com/Events_Noticeboard/article558
regards
Mark
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Mark,
It sounds interesting. I haven't used it yet. Currently, I am tied up with some projects. But, as soon as I shape things up, I would like to check it out. Do you have some material which may help to read the source code?
Thank you,
Javit
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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-----
Cavit (Javit) Hafizoglu
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--
Quant Job Interview Questions and Answers is now out:
www.markjoshi.comAssoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is
www.markjoshi.com