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Does LMM (BGM/J etc) work in Japanese FI market?

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INFIDEL
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Joined: November 29th, 2005, 4:17 pm

Does LMM (BGM/J etc) work in Japanese FI market?

June 18th, 2008, 1:15 pm

I read somewhere that in the 1990s, the LMM was poor at recovering Japanese caplet/swaption prices. Has the situation improved in the noughties? Does anyone use the LMM for JPY IRD?
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horacioaliaga
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Does LMM (BGM/J etc) work in Japanese FI market?

June 19th, 2008, 2:03 pm

Yes, I know they are using it
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INFIDEL
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Does LMM (BGM/J etc) work in Japanese FI market?

June 20th, 2008, 7:25 am

Can you gauge which model(s) would be the most popular for JPY IRD?
Last edited by INFIDEL on June 19th, 2008, 10:00 pm, edited 1 time in total.
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