<r>Yes, I am in Asia(Mumbai, to be precise) . TinMan is correct. The vols upto 2 year are against 3m euribor and 6m euribor thereafter.You might want to see this paper "<URL url="http://www.fabiomercurio.it/LMMpostcrunch5.pdf">http://www.fabiomercurio.it/LMMpostcrunch5.pdf</URL>" . Mercurio talks ab...

1. The quotes on bloomberg/reuters for USD are for 3m libor fixingsFor EUR they are against 6m euribor fixings.2 & 3. Have a look at chapter 9, Libor Market Model in Practice (Gatarek et al ) for deriving the non-standard vol from the standard vol (say 6m from 3m ..)

<t>I feel that all products which involve CMS rates need to have the correct smile calibration correctly. This is because the classical convexity adjustment can be completely determined by the related swaption smile (as per Hagan, 2002, Managing smile risk). Hence for pricing of all CMS products one...

"Engineering BGM" by Alan Brace has a chapter on "Cross Currency BGM" - Chapter 14. You can refer that as well.RegardsBhaskar

Black obviously

What has your experience with respect to stoc vol LMM models. What is the preferred stoc vol LMM model among quants?

I would like to know which is the preferred stoc vol model for LMM/SMM which is used to capture caplet smile and swaption smile (both simultaneously and separately.)