Re: [Quantlib-users] Libor forward model swaption

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

There is something basic in tests on github:
https://github.com/lballabio/QuantLib/blob/master/test-suite/libormarketmodel.cpp


On Fri, Sep 18, 2020 at 6:18 PM Daniel Lobo <dan...@gm...> wrote:

> 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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