Black-Karasinski dynamics missing?

[JURAJ HUSKA]

Hello,

has anyone ever needed BlackKarasinski dynamics? It seems it's not
implemented in QuantLib. Any particular reason for that or am I mistaken and
it is implemented?

Juraj
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[Luigi Ballabio]

On Wed, 2006-12-27 at 16:33 -0600, JURAJ HUSKA wrote:
> has anyone ever needed BlackKarasinski dynamics? It seems it's not
> implemented in QuantLib. Any particular reason for that or am I mistaken and
> it is implemented?

As a class derived from StochasticProcess, you mean? No, it is not
implemented. I guess nobody needed it. Are you interested in coding it?

Later,
        Luigi


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There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare