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Re: Bermudan LLM

Posted by Ferdinando M. Ametrano-3 on Aug 22, 2011; 8:59am
URL: http://quantlib.414.s1.nabble.com/Bermudan-LLM-tp9645p9647.html

On Sat, Aug 20, 2011 at 6:40 AM, Kakhkhor Abdijalilov
<[hidden email]> wrote:
> my actual goal
> is to implement Bermudan LLM and integrate it into QuantLib.

do you plan a new implementation? why don't you reuse Mark Joshi's one

> There is
> one issues though.
> We need an efficient SVD algorithms. The SVD in the current version of
> QuantLib is OK for small matrices but I suspect it might be terribly
> slow for larger matrices.

I don't think Mark's code do use SVD and anyway I would be surprised
if matrix decomposition is a bottleneck: a proper implementation would
decompose the matrices once and then it's done. Hardly significant
compared to the simulations that will use the decomposed matrices

ciao -- Nando

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