Re: [Quantlib-users] Libor forward model swaption

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

Thanks. Even any examples with c++ would help. Regards,

On Sat, 19 Sep 2020 at 03:40, Arkadiy Naumov <ark...@gm...> wrote:
>
> 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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