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

[Luigi B. <lui...@gm...>]

On 07/08/2006 05:08:35 PM, Toyin Akin wrote:
> I was just scanning some of the code within the new =20
> abcdvolatility.cpp class (marketmodel framework) and I noticed that =20
> at one point the order that the a,b,c,d parameters are passed in are =20
> different than that of Klaus's abcd class code

Klaus used a Brigo-Mercurio paper, while we started coding based on =20
Rebonato's book. The two references use the same formula but with the =20
a,b,c,d parameters in different places---hence the permutation. At some =20
point we'll uniform the notation.

Luigi


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