Re: [Quantlib-users] Libor forward model swaption

[Arkadiy N. <ark...@gm...>]

As far as I know, LMM isn't exposed via swig, so it won't be there in
Python package. You'd have to go C++ route to access the functionality.
There may be some examples of that available - I don't know much about C++
myself, so I never looked into it.

On Fri, Sep 18, 2020 at 3:11 AM Daniel Lobo <dan...@gm...> wrote:

> 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
>
>
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