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stochastic vol lmm

Posted: February 5th, 2011, 4:10 pm
by unkpath
hi, Has anybody come across some publicly available stochastic vol lmm code of any variety? Or published as part of a book maybe? Anything would be good, even bits and pieces.I know that for classic models like Black, Heston, many things are available out there.Thanks, nkpth

stochastic vol lmm

Posted: February 5th, 2011, 5:39 pm
by pcaspers
yes. Quantlib.