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

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

Hi,

Great stuff.

I do like Klaus's framework especially since there are more volatility 
models and you can calibrate various parts of the parameters (no doubt the 
new framework will have these features in the future).

Concerning the new framework, can you price a 5 year cap starting in 2 years 
without simulating the first 2 years of rates? Currently Klaus's framework 
needs all the forwards from spot to price this contract (7 years worth) and 
from the test suite, the new framework provides an example pricing from spot 
also. Can the test case example be easily modified to provide starting 
forward dates?

Best Regards,
Toyin Akin.

>From: "Ferdinando Ametrano" <na...@am...>
>To: "Toyin Akin" <toy...@ho...>
>CC: kla...@fr..., qua...@li..., 
>qua...@li...
>Subject: Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?
>Date: Fri, 7 Jul 2006 09:33:23 +0200
>
>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