libor market model

[AlexandreMoulti]

pricing and calibration of swpations thanks the LMM with following features

• displacement for negative rates
• number of factors
• stochastic vol
  https://cermics.enpc.fr/~mehallas/Documents/Summer_school_X.pdf

[amitvarshney00]

Hi Alexandre

We currently do not have an implementation of LMM in tf-quant-finance. We definitely have plans to implement a variant of LMM model in the future. However, you might be aware that Libor rates are going to be discontinued soon and will be replaced by overnight rates like SOFR in the US and SONIA and ESTER in UK and Euro Zone respectively. The modeling paradigm will switch from the forward looking LIBOR to "backward looking" overnight rates. We would like to wait till their is a clear established modeling framework in this new post-Libor world.

Meanwhile, we do have multifactor HJM available in tf-quant-finance with swaption and cap/floor pricing available.

Let me know if you have further thoughts/comments.

Best
Amit

[AlexandreMoulti]

Thanks for your answer
I understand there will be challenges for adopting a consistent framework in the near future with the ongoing changes in the ibor market.
Yet, there is a need to pricing products right now, and LMM or LGM models are among the mostly used.
That would be nice to have an implementation even of them even if it will evolve in the future.
regards

https://oparu.uni-ulm.de/xmlui/bitstream/handle/123456789/1832/vts_7793_11241.pdf?sequence=1
https://www.quantlib.org/slides/qlum17/kuerzinger.pdf
https://www.quantsummaries.com/Zeng_LGM.pdf

[amitvarshney00]

Hi Alexandre - Thanks for your input. We will keep this in mind while deciding for an implementation of LMM type term-structure models in the future.