Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?

[Ferdinando A. <na...@am...>]

Hi all

> It looks like some test cases have been coded up for the new
> QuantLib/ql/MarketModels framework and this looks like another
> implementation of the Libor Market Model
yes it is. The coding project is led by Mark Joshi. Luigi, I and
others are involved.

> equivalent to Klaus's [...] Does anyone know whether the two models are
> consistent with each other?
They probably are. The new implementation follows Joshi and Rebonato's
approch (see The Concepts and Practice of Mathematical Finance, by
Mark S. Joshi, and Modern Pricing of Interest Rate Derivatives, by
Riccardo Rebonato)

This implementation strive for optimal efficiency, and it is not
really merged into QuantLib current design (yet). Klaus implementation
is much more QuantLib style, but suffer few efficiency problems.

Klaus knows about the project and we hope he will join us. For sure
we'll try to reuse much of his work where possible.

ciao -- Nando