Re: [Quantlib-dev] Bermudan LLM

[Ferdinando A. <na...@am...>]

On Sat, Aug 20, 2011 at 6:40 AM, Kakhkhor Abdijalilov
<kab...@gm...> 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