On Mon, 2008-04-07 at 08:11 +0100, Guillaume Pealat wrote:
> I have a calibrated local vol, but no implied vol.
> I would like to register a process (BS type), that stil works in the
> MC simulation framework.
> Is it enough to create a derived class of
> GeneralizedBlackScholesProcess class with the good constructor?
>
> The diffusion method is already calling the local vol to diffuse the
> underlying so in this case it should be enough.
>
> Am I wrong?
No, I think you're right. You might have to pay attention to what
happens when your process receives a notification from its observables,
though--it might try to recalculate the local vol from the (missing)
Black one. If this is the case, you'll have to override the update()
method in your derived class.
Luigi
--
Just remember what ol' Jack Burton does when the earth quakes, the
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah,
Jack Burton just looks that big old storm right in the eye and says,
"Give me your best shot. I can take it."
-- Jack Burton, "Big trouble in Little China"
-------------------------------------------------------------------------
This SF.net email is sponsored by the 2008 JavaOne(SM) Conference
Register now and save $200. Hurry, offer ends at 11:59 p.m.,
Monday, April 7! Use priority code J8TLD2.
http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
