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

[Sumit S. <su...@mo...>]

Thanks a lot Luigi/Laurent.

Can I ask, for pricing and risk for swaptions, apart from the 1 factor HW
model, what other models are supported in Quantlib?

 Is the calibration (to mkt vol) and pricing under sabr forward measure
supported in Quantlib python? If so, is there any python code/ notebook
that can be shared.

Thanks
Sumit

On Mon, 31 Aug 2020, 12:13 Luigi Ballabio, <lui...@gm...> wrote:

> Hello,
>     I confirm LMM is not exported to Python.  Truth be told, it's not
> fully integrated with the C++ library either.  We need some work on that.
>
> Luigi
>
>
> On Sun, Aug 30, 2020 at 11:28 PM Sumit Sengupta <su...@mo...>
> wrote:
>
>> 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
>>
>> --
>> Mosaic Smart Data
>>
>> mobile +44 (0)7961839363
>> su...@mo...
>> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
>> www.mosaicsmartdata.com
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>