Re: [Quantlib-dev] Quanto LMM QuantLib developement

[Klaus S. <kla...@fr...>]

Hi Toy,

An interesting solution would be to simulate the multi currency LMM as 
proposed by e.g. Fries by using a composite stochastic process consisting of 
a Black Scholes process for FX, a plain "home" LMM interest rate and a 
foreign LMM interest rate having the "quanto adjustment"...plus a bunch of 
new correlations between the three processes (calibrated using historical 
correlations?)

cheers
 Klaus

On Tuesday 11 April 2006 1:58 pm, Toyin Akin wrote:
> 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
>
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