LiborMarketModel




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Given volatility and correlation specification objects, creates a Libor Forward Market Model object to be used within the interest rate Engines.

Volatility and correlation specification objects can be produced via a call to any of the appropriate functions within the CapeTools LMM Volatility/Correlation Models category of functions.

This object can be calibrated via the CalibrateModelLFM() and CalibrateModelLFM_2() functions.

You can price cap/floor structures analytically by passing this object to the AnalyticCapFloorEngine() function.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "LMMModel"



Note: Within Excel, the function is named - CT.MOD.LiborMarketModel


High level graphic of LiborMarketModel() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. LMMProcess parameter

    Key to an already constructed LMMProcess object.
  4. LMMVolModel parameter

    Key to an already constructed LMM volatility model object.
  5. LMMCorrModel parameter

    Key to an already constructed LMM correlation model object.


Extended information

Function Syntax

VB Syntax 


String CTModels.LiborMarketModel( _
String Key, _
Long Reload, _
String LMMProcess, _
String LMMVolModel, _
String LMMCorrModel)


Excel Spreadsheet Syntax 


=CT.MOD.LiborMarketModel(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell LMMProcess,
Excel String Cell LMMVolModel,
Excel String Cell LMMCorrModel)


C++ Syntax 


static std::string LiborMarketModel(
std::string Key,
long Reload,
std::string LMMProcess,
std::string LMMVolModel,
std::string LMMCorrModel);


DotNET Syntax 


System.String CTModelsSA.LiborMarketModel(
System.String Key,
System.Int32 Reload,
System.String LMMProcess,
System.String LMMVolModel,
System.String LMMCorrModel);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
LMMProcessStringTRUE
LMMVolModelStringTRUE
LMMCorrModelStringTRUE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyLiborMarketModel
ReloadFALSE1
LMMProcessFALSELMMProcessNAME.EXTTAG.TICKER (from a function call)
LMMVolModelFALSELMMVolModelNAME.EXTTAG.TICKER (from a function call)
LMMCorrModelFALSELMMCorrModelNAME.EXTTAG.TICKER (from a function call)


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Models20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the LiborMarketModel() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the LiborMarketModel() function call


MyLiborMarketModel_6.LMMModel.0

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