Description required for a Quantlib benchmark testcase
Posted by
Sunil Narang on
Mar 16, 2007; 1:32pm
URL: http://quantlib.414.s1.nabble.com/Description-required-for-a-Quantlib-benchmark-testcase-tp686.html
Hi everyone,
I have very recently started using Quantlib. In version 0.4.0 there is a benchmark.cpp which tests something like 20-30 test-cases. Within those testcases there is a libor market model process which computes LMM caplet prices using Monte-Carlo simulation. There have been some hard coded values (EURibor6M, fixedRate=0.04, offset=8, Settlement days=2). It would greatly help me if someone could give me the
exact problem that libor market model process is trying to solve ( including what inputs are being given to setup the caplets and Monte Carlo).
thanx
Sunil
computes LMM
caplet prices using Monte-Carlo Simulation
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