Ametrano and Joshi "Smooth Calibration of the LMM..." example code

Posted by mudcrab on Jan 09, 2011; 8:17pm
URL: http://quantlib.414.s1.nabble.com/Subject-LMM-Caplet-price-dependence-on-initial-numeraire-value-tp693p694.html

Hi,

I didn't actually see the implementation of the source code for the
example calibration in Section 13 of the Ametrano and Joshi paper
(http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1092665) in the
repository.

Did I miss it, or if not, is this something that Nando or Mark could make
available?

Thanks.



------------------------------------------------------------------------------
Gaining the trust of online customers is vital for the success of any company
that requires sensitive data to be transmitted over the Web.   Learn how to
best implement a security strategy that keeps consumers' information secure
and instills the confidence they need to proceed with transactions.
http://p.sf.net/sfu/oracle-sfdevnl 
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users