Re: the LMM in QuantLib

Posted by javit on
URL: http://quantlib.414.s1.nabble.com/the-LMM-in-QuantLib-tp6608p6614.html

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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