October 15th, 2014, 8:37 am
Quotehave done any tests for the LMM? eg a TARN cf the examples in More Mathematical Finance.No, we haven't done such tests but we would like to do them. Would you be interested in doing them together ?With colleagues we've done recently a work ( Marco Bianchetti, Sergei Kucherenko, Stefano Scoleri, Better Pricing and Risk Management with High Dimensional Quasi Monte Carlo, WBS 10th Fixed Income Conference, Barcelona , September, 2014) on application of QMC using SobolSeq16384 for computing market and counterparty risk measures of derivatives? portfolios in high dimensions and we've got a dramatic acceleration in comparison with MC but it's another topic. We are still working on explanation why there problemshave low effective dimensions. QuoteAre the Sobol 16384 numbers available? it would be good to get them in QuantLibBoth SobolSeq16384 and SobolSeq32000 ( max dim 32000 ) from BRODA are commercial but we can discuss the terms on including them in QuantLib. QuoteNB Joe and Kuo corrected their numbers at some point. I think the ones in QuantLib are the pre-correction onesWe did these tests I believe after Joe and Kuo corrected their numbers but I'll double check that. I showed the results to Francis Kuo and she was going to look into the details of the comparison but nothing has happened so far...