Hi,
I am new both to c++ and QL.
Recently, I completed a project on solving the BS for Vanilla American
put using boundary fixing, ie use S=s-p0, where s is stock price and p0
is exercise boundary, thereby fixing 0<S<Inf. The resulting equations is
non-linear (will be linearised for numerical purpose) and will have
time/S dependent coeffs even for const sigma and r.
I did it using MATLAB, now I am learning c++ so I was thinking of
implementing it in QL as a practice.
My initial framework are as follows:
Construct a new FDBFAmericanEngine class, derived in much the same way
as how FDEuropeanEngine is derived from its bases.
For this class, I provide member functions tranformOperator and
transformBoundaryConditions.
I will also have the calculate() member function very much similar to
the one in FDEuropeanEngine, with the exception that I will be calling
rollback multiple times and calling both tranformOperator() and
transformBoundaryConditions() just prior to that.
I am still writing the code now but I will like to hear if there are any
comments, esp if this will work and is there a better way to do it for
future flexibility.
Thanks!
Kuan
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