<t>No replies can mean:a) Nobody understands what I'm asking.b) Nobody knows the answer or has written a MC simulation for that model.c) Nobody cares about this model.In case it's a) I'll bring it more to the point:Rebonato's correlation specification => very small ( <<< 0.5Y ) time steps required =...

<t>Hi,Has anyone actually implemented the SABR LMM with non-zero correlation for Libor/LiborVol (as suggested in Rebonato's book) ? A MC implementation of Rebonato?s correlation must perform poorly.If beta=1 the SDE is: [$] dL_i / L_i = m^L_i dt + s_i V_i dW_i [$][$]dV_i / V_i = m^V_i dt + a_i dZ_i ...