You might want to post something on this thread in Wilmott ...
http://www.wilmott.com/messageview.cfm?catid=10&threadid=32176and get in contact with user madmax to make sure you aren't duplicating
each other's work.
(Assuming you aren't madmax). If you can't get in touch with him, don't
let that stop you, but I'd like to avoid duplication if possible.
There is a C++ header class in CVS under Processes called
defaultable.hpp which was a first pass attempt at a defaultable object.
The idea behind that is to combine that with BlackScholesProcess to
create an object which represents the defaultable BlackScholesProcess,
then use that process to calculate the differential operator matrix,
then put that into the finite difference engines and calculate the value
of equity options with the possibility of default.
Locked
