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Does LMM (BGM/J etc) work in Japanese FI market?
Posted: June 18th, 2008, 1:15 pm
by INFIDEL
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?
Does LMM (BGM/J etc) work in Japanese FI market?
Posted: June 19th, 2008, 2:03 pm
by horacioaliaga
Yes, I know they are using it
Does LMM (BGM/J etc) work in Japanese FI market?
Posted: June 20th, 2008, 7:25 am
by INFIDEL
Can you gauge which model(s) would be the most popular for JPY IRD?