[Quantlib-dev] Quanto LMM QuantLib developement

[Toyin A. <toy...@ho...>]

Hi Klaus,

Thanks for the pdf file.

Looks like it's not going to be as easy as I thought.

What would you suggest would be the best method of integration of Quanto 
rates into the LMM model given that we already have a BlackScholesProcess 
object within quantLib.

Toy out.

>From: Klaus Spanderen <kla...@fr...>
>Reply-To: kla...@fr...
>To: "Toyin Akin" <toy...@ho...>
>CC: qua...@li...
>Subject: Re: [Quantlib-dev] QuantLib developement
>Date: Mon, 10 Apr 2006 08:36:23 +0200
>
>Hi Toy,
>
>I found the following slides on LMM and quanto structures quite good
>
>http://www.christian-fries.de/finmath/PDF/
>CrossCurrencyLIBORModels-MarkovFunctionalModel_Koeln2004.pdf
>
>cheers
>  Klaus
>
>