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finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
Apache License 2.0
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Redesign Libor Market Model #62

Closed VEichel closed 5 years ago

VEichel commented 5 years ago

The Method getNumeraire in LiborMarketModel is changed due to 3 Reasons:

  1. If a interpolation of the Numeraire is necessary, use the one already done in getLIBOR.
  2. Do the discount curve adjustment just ones at the end.
  3. Use numeraire Cache at each iteration. (Old Version e.g.: For SpotMeasure getNumeraire(10.0) was not looking for getNumeraire(9.0) in Cache);
cfries commented 5 years ago

I have reverted some formatting changes, since previously the PR showed a diff of +825 -734, but the effective changes are quite small (including some other formatting changes its a +60 -79).

However, the unit test fails because the new implementation of the numeraire is wrong for the terminal measure. I have to have a closer look here.

cfries commented 5 years ago

Thanks Vincent!