Hi Friends,
I would like to make my model proposed here
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2149231 and explained
briefly here
https://www.linkedin.com/groupItem?view=&gid=723317&type=member&item=5894083052862201859&trk=groups_most_recent-0-b-ttl&goback=%2Egmr_723317and also discussed at
http://www.wilmott.com/messageview.cfm?catid=4&threadid=92316&STARTPAGE=1a part of Quantlib and I am looking for some partners who could contribute
to already working code which is programmed in C++ with a simple C style.
You will have to integrate the code with quantlib in C++. Model needs some
enhancements in its behavior at the zero boundary. You must know how to
exactly implement a zero flux condition in case of a single dimensional
PDE where diffusion can hit and partially accumulate at zero. If you are
interested in joining and taking ownership of the project, please message
me at my email
[hidden email]. If somebody else wants
the raw working code you can also email me.
Kind regards,
Ahsan Amin
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