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

[Amine I. <ami...@gm...>]

Hi Sumit,

From my experience, there is a 2factor Gaussian and CIR square root diffusion model (1-factor) with calibration to initial term structure possible. If you have access to the CPP code, it’s all under the QL/models/shortrate folder. 

Regards,

Amine Ifri

> On 31 Aug 2020, at 13:09, Sumit Sengupta <su...@mo...> wrote:
> 
> 
> 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
>>> 
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