BSM process

[Joseph Wang]

I got distracted with some other things, but I think I get get back to
trying to implement Ayache-Forstyh for convertible bonds.

Looking over the code, I was wondering if it would be a good idea to
include an "isConstant" method in the Black Scholes process classes so
that the Pricing engines can automatically use that know to lookup the
interest rate and dividend yields only once.

Thoughts?

[Adjriou Belak]

Hi,

 

does someone know how to invert (reverse) a matrix ?

 

Regards.

Joseph Wang <[hidden email]> a écrit :

I got distracted with some other things, but I think I get get back to
trying to implement Ayache-Forstyh for convertible bonds.

Looking over the code, I was wondering if it would be a good idea to
include an "isConstant" method in the Black Scholes process classes so
that the Pricing engines can automatically use that know to lookup the
interest rate and dividend yields only once.

Thoughts?




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[Luigi Ballabio]

On 06/28/2005 06:53:58 AM, Joseph Wang wrote:
>
> Looking over the code, I was wondering if it would be a good idea to
> include an "isConstant" method in the Black Scholes process classes  
> so that the Pricing engines can automatically use that know to lookup  
> the interest rate and dividend yields only once.

I don't think the BS process has a way to determine whether it's  
constant, apart from trying to cast the term structures to constant  
ones---and that will leave out user-defined constant structures. I'd  
rather have an "isConstant" parameter passed to the engine constructor,  
so that the engine will take the zero rates and use them throughout  
(this could also be done for non-constant term structures.)

Later,
        Luigi

----------------------------------------

Prediction is very difficult, especially if it's about the future.
-- Niels Bohr

[Luigi Ballabio]

On 07/01/2005 09:03:31 PM, Adjriou Belak wrote:
>
> does someone know how to invert (reverse) a matrix ?

There's no direct way at this time. You can use one of the provided  
matrix decompositions and work out the inverse from the results.

Later,
        Luigi

----------------------------------------

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