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

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

Hi 

from what I heard and what is in the CVS the scope of the MarketModels project 
is much wider than the scope of the LMM code, which has some inefficiencies 
and inherits some due to the "old quantlib style". Especially the separate 
numeriare modelling is something I do appeiciate very much (was also on my 
personal wish list for a long time). 

Therefore I think the right way forward is to reuse the existing LMM code when 
it makes sens (like parts of AbcdVolatility) but to remove the rest as soon 
as the old code gets superseded by the new framework. Looking onto the 
current momentum and the coding power of the MarketModels project this will 
likely be in release 0.3.14;-)

What I personally find even more interestingly is that the new framework does 
currently not use more important design issues of QL like stochastic 
processes, the existing MonteCarlo & Pricing Engine approach or the given 
instrument definitions. Nando, is it planed to "see" more fundamental changes 
in the quantlib soon? (or will the MarketModels stuff be integrated in the 
existing MonteCarlo framework, which is very much equity driven). 

cheers 
 Klaus

On Friday 07 July 2006 9:33 am, Ferdinando Ametrano wrote:
> 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
>
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