[Peter Caspers] Re: Boundary condition for each time step in finite difference engine
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[Peter Caspers] Re: Boundary condition for each time step in finite difference engine
 
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Hi,
sorry, there is still debug code in this class which writes messages to std::cout. Please consider removing that before trying it out, as shown here https://github.com/lballabio/quantlib/pull/17/files Luigi, maybe we can get this tiny fix into 1.3 ? Thank you Peter Klaus Spanderen <[hidden email]> writes: > Hi > > > > you might want to consider to use Peter's > FdmTimeDepDirichletBoundary, which allows you to specify a time > dependent value for the Dirichlet boundary condition. > > > > If your barrier is only monitor using the closing prices but not with > any intra day quotes then maybe you should only use one time step per > day. > > > > regards > > Klaus > > > > On Wednesday, July 17, 2013 01:42:55 PM Haoyun XU wrote: > > Hi, > > > I am considering pricing daily monitored barrier options with > QuantLib. For this to work, I need to set up boundary conditions > depending on time steps. More specifically, barriers are only active > at specified steps (day end). > > > I wonder how can I do this? Does the FdmDirichletBoundary class > support different boundary & boundary values at different time steps? > > > Many thanks! > > > Best, > > Henry > > > > > > > > ------------------------------------------------------------------------------ > See everything from the browser to the database with AppDynamics > Get end-to-end visibility with application monitoring from AppDynamics > Isolate bottlenecks and diagnose root cause in seconds. > Start your free trial of AppDynamics Pro today! > http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ See everything from the browser to the database with AppDynamics Get end-to-end visibility with application monitoring from AppDynamics Isolate bottlenecks and diagnose root cause in seconds. Start your free trial of AppDynamics Pro today! http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: [Peter Caspers] Re: Boundary condition for each time step in finite difference engine
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Done.
On Sat, Jul 20, 2013 at 9:26 AM, Peter Caspers <[hidden email]> wrote: > ------------------------------------------------------------------------------ > See everything from the browser to the database with AppDynamics > Get end-to-end visibility with application monitoring from AppDynamics > Isolate bottlenecks and diagnose root cause in seconds. > Start your free trial of AppDynamics Pro today! > http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk > > > ---------- Forwarded message ---------- > From: Peter Caspers <[hidden email]> > To: Klaus Spanderen <[hidden email]> > Cc: > Date: Sat, 20 Jul 2013 09:22:29 +0200 > Subject: Re: [Quantlib-users] Boundary condition for each time step in finite difference engine > Hi, > sorry, there is still debug code in this class which writes messages > to std::cout. Please consider removing that before trying it out, as > shown here > > https://github.com/lballabio/quantlib/pull/17/files > > Luigi, maybe we can get this tiny fix into 1.3 ? > > Thank you > Peter > > > Klaus Spanderen <[hidden email]> writes: > >> Hi >> >> >> >> you might want to consider to use Peter's >> FdmTimeDepDirichletBoundary, which allows you to specify a time >> dependent value for the Dirichlet boundary condition. >> >> >> >> If your barrier is only monitor using the closing prices but not with >> any intra day quotes then maybe you should only use one time step per >> day. >> >> >> >> regards >> >> Klaus >> >> >> >> On Wednesday, July 17, 2013 01:42:55 PM Haoyun XU wrote: >> >> Hi, >> >> >> I am considering pricing daily monitored barrier options with >> QuantLib. For this to work, I need to set up boundary conditions >> depending on time steps. More specifically, barriers are only active >> at specified steps (day end). >> >> >> I wonder how can I do this? Does the FdmDirichletBoundary class >> support different boundary & boundary values at different time steps? >> >> >> Many thanks! >> >> >> Best, >> >> Henry >> >> >> >> >> >> >> >> ------------------------------------------------------------------------------ >> See everything from the browser to the database with AppDynamics >> Get end-to-end visibility with application monitoring from AppDynamics >> Isolate bottlenecks and diagnose root cause in seconds. >> Start your free trial of AppDynamics Pro today! >> http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ See everything from the browser to the database with AppDynamics Get end-to-end visibility with application monitoring from AppDynamics Isolate bottlenecks and diagnose root cause in seconds. Start your free trial of AppDynamics Pro today! http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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