Re: [Quantlib-users] Libor forward model swaption

[Daniel L. <dan...@gm...>]

Hi,

Just thought to follow-up on this. Is there any way to get an example
to implement this model?

Many thanks for your time.

On Tue, 15 Sep 2020 at 14:26, Daniel Lobo <dan...@gm...> wrote:
>
> Hi,
>
> I was struggling to understand how the Libor forward model can be used
> to value a swaption.
>
> This requires an instance of class LiborForwardModel (link :
> https://rkapl123.github.io/QLAnnotatedSource/d6/d6f/class_quant_lib_1_1_libor_forward_model.html),
> but I failed to understand how to construct it.
>
> I am using Python build of QuantLib, do you have any example for
> LiborForwardModel's implementation?
>
> Your help is much appreciated.
>
> Thank you. Regards