Re: [Quantlib-users] Libor market model implementation in Quantlib

[Laurent B <lp...@ho...>]

Hi,

From what I can remember, there ‘s a  Libor Swaption pricer in the C++ codebase.  Maybe not available via Python.

Regards

Laurent

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From: Sumit Sengupta<mailto:su...@mo...>
Sent: 30 August 2020 22:27
To: qua...@li...<mailto:qua...@li...>
Subject: [Quantlib-users] Libor market model implementation in Quantlib

Hi,

  I wanted to confirm if I can use Quantlib python to price Swaptions / Bond options using HJM/LMM models.

Going through the quantlib python cookbook, I don't see any examples / sample code on how to do this.  Does this mean it's not supported in Quantlib?

Regards

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